About: Structure Determination and Estimation of Hierarchical Archimedean Copulas Based on Kendall Correlation Matrix

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	An estimation method for the copula of a continuous multivariate distribution is proposed. A popular class of copulas, namely the class of hierarchical Archimedean copulas, is considered. The proposed method is based on the close relationship of the copula structure and the values of Kendall's tau computed on all its bivariate margins. A generalized measure based on Kendall's tau adapted for purposes of the estimation is introduced. A simple algorithm implementing the method is provided and its effectiveness is shown in several experiments including its comparison to other available methods. The results show that the proposed method can be regarded as a suitable alternative to existing methods in the terms of goodness of fit and computational efficiency. An estimation method for the copula of a continuous multivariate distribution is proposed. A popular class of copulas, namely the class of hierarchical Archimedean copulas, is considered. The proposed method is based on the close relationship of the copula structure and the values of Kendall's tau computed on all its bivariate margins. A generalized measure based on Kendall's tau adapted for purposes of the estimation is introduced. A simple algorithm implementing the method is provided and its effectiveness is shown in several experiments including its comparison to other available methods. The results show that the proposed method can be regarded as a suitable alternative to existing methods in the terms of goodness of fit and computational efficiency. (en)
Title	Structure Determination and Estimation of Hierarchical Archimedean Copulas Based on Kendall Correlation Matrix Structure Determination and Estimation of Hierarchical Archimedean Copulas Based on Kendall Correlation Matrix (en)
skos:prefLabel	Structure Determination and Estimation of Hierarchical Archimedean Copulas Based on Kendall Correlation Matrix Structure Determination and Estimation of Hierarchical Archimedean Copulas Based on Kendall Correlation Matrix (en)
skos:notation	RIV/47813059:19520/13:#0002298!RIV14-MSM-19520___
http://linked.open...avai/riv/aktivita	I
http://linked.open...avai/riv/aktivity	I
http://linked.open...vai/riv/dodaniDat	2014
http://linked.open...aciTvurceVysledku	Górecki, Jan
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Slezská univerzita v Opavě / Obchodně podnikatelská fakulta v Karviné
http://linked.open...dnocenehoVysledku	108397
http://linked.open...ai/riv/idVysledku	RIV/47813059:19520/13:#0002298
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	copula; hierarchical Archimedean copula; copula estimation; structure determination; Kendall's correlation coefficient (en)
http://linked.open.../riv/klicoveSlovo	structure determination hierarchical Archimedean copula Kendall's correlation coefficient copula estimation copula
http://linked.open...ontrolniKodProRIV	[D72FB9B31169]
http://linked.open...v/mistoKonaniAkce	Praha
http://linked.open...i/riv/mistoVydani	Praha
http://linked.open...i/riv/nazevZdroje	Proceedings of the 2nd Workshop on New Frontiers in Mining Complex Patterns (NFMCP 2013)
http://linked.open...in/vavai/riv/obor	IN
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...UplatneniVysledku	2013
http://linked.open...iv/tvurceVysledku	Holeňa, Martin GÓRECKI, Jan
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open.../riv/zahajeniAkce	2013-09-23 (xsd:date)
number of pages	12 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Neuveden
https://schema.org/isbn	978-3-642-37381-7
http://localhost/t...ganizacniJednotka	19520

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