Hierarchical Kendall copulas: Properties and inference
نویسندگان
چکیده
منابع مشابه
Hierarchical Kendall copulas: Properties and inference
While there is substantial need for dependence models in higher dimensions, most existing models quickly become rather restrictive and barely balance parsimony and flexibility. Hierarchical constructions may improve on that by grouping variables in different levels. In this paper, the new class of hierarchical Kendall copulas is proposed and discussed. Hierarchical Kendall copulas are built up ...
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Copulas recently emerged in many data analysis and knowledge discovery tasks as a flexible tool for modeling complex multivariate distributions. The paper presents a method for estimating copulas from one of the most popular classes of copulas, namely hierarchical Archimedean copulas. The method is based on the close relationship of the copula structure and the values of Kendall’s tau computed ...
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ژورنال
عنوان ژورنال: Canadian Journal of Statistics
سال: 2014
ISSN: 0319-5724
DOI: 10.1002/cjs.11204