About: An Alternative Approach to the Structure Determination of Hierarchical Archimedean Copulas

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	Copulas offer very a flexible tool for a stochastic dependence modeling. One of the most popular classes of copulas is the class of hierar- chical Archimedean copulas, which gained its popularity due to the fact that the models from the class are able to model the stochastic dependencies con- veniently even in high dimensions. One critical issue when estimating a hierar- chical Archimedean copula is to correctly determine its structure. The paper describes an approach to the problem of the structure determination of a hi- erarchical Archimedean copula, which is based on the close relationship of the copula structure and the values of measure of concordance computed on all its bivariate margins. The presented approach is conveniently summarized as a simple algorithm. Copulas offer very a flexible tool for a stochastic dependence modeling. One of the most popular classes of copulas is the class of hierar- chical Archimedean copulas, which gained its popularity due to the fact that the models from the class are able to model the stochastic dependencies con- veniently even in high dimensions. One critical issue when estimating a hierar- chical Archimedean copula is to correctly determine its structure. The paper describes an approach to the problem of the structure determination of a hi- erarchical Archimedean copula, which is based on the close relationship of the copula structure and the values of measure of concordance computed on all its bivariate margins. The presented approach is conveniently summarized as a simple algorithm. (en)
Title	An Alternative Approach to the Structure Determination of Hierarchical Archimedean Copulas An Alternative Approach to the Structure Determination of Hierarchical Archimedean Copulas (en)
skos:prefLabel	An Alternative Approach to the Structure Determination of Hierarchical Archimedean Copulas An Alternative Approach to the Structure Determination of Hierarchical Archimedean Copulas (en)
skos:notation	RIV/47813059:19520/13:#0002219!RIV14-MSM-19520___
http://linked.open...avai/predkladatel	Obchodně podnikatelská fakulta v Karviné
http://linked.open...avai/riv/aktivita	O
http://linked.open...avai/riv/aktivity	O
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	60277
http://linked.open...ai/riv/idVysledku	RIV/47813059:19520/13:#0002219
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	hierarchical Archimedean copula; structure determination; measure of concordance; bivariate margins; nesting condition (en)
http://linked.open.../riv/klicoveSlovo	structure determination bivariate margins hierarchical Archimedean copula measure of concordance nesting condition
http://linked.open...ontrolniKodProRIV	[E536427AF9D8]
http://linked.open...v/mistoKonaniAkce	Jihlava
http://linked.open...i/riv/mistoVydani	Jihlava
http://linked.open...i/riv/nazevZdroje	31st International Conference on Mathematical Methods in Economics 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	WRD - Světová
http://linked.open.../riv/zahajeniAkce	2013-09-11 (xsd:date)
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	College of Polytechnics Jihlava
https://schema.org/isbn	978-80-87035-76-4
http://localhost/t...ganizacniJednotka	19520

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