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Statements

Subject Item
n2:RIV%2F47813059%3A19520%2F13%3A%230002298%21RIV14-MSM-19520___
rdf:type
skos:Concept n17:Vysledek
dcterms: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.
dcterms: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
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
skos:notation
RIV/47813059:19520/13:#0002298!RIV14-MSM-19520___
n17:predkladatel
n20:orjk%3A19520
n3:aktivita
n13:I
n3:aktivity
I
n3:dodaniDat
n9:2014
n3:domaciTvurceVysledku
n19:1797190
n3:druhVysledku
n8:D
n3:duvernostUdaju
n16:S
n3:entitaPredkladatele
n21:predkladatel
n3:idSjednocenehoVysledku
108397
n3:idVysledku
RIV/47813059:19520/13:#0002298
n3:jazykVysledku
n10:eng
n3:klicovaSlova
copula; hierarchical Archimedean copula; copula estimation; structure determination; Kendall's correlation coefficient
n3:klicoveSlovo
n4:copula%20estimation n4:structure%20determination n4:Kendall%27s%20correlation%20coefficient n4:copula n4:hierarchical%20Archimedean%20copula
n3:kontrolniKodProRIV
[D72FB9B31169]
n3:mistoKonaniAkce
Praha
n3:mistoVydani
Praha
n3:nazevZdroje
Proceedings of the 2nd Workshop on New Frontiers in Mining Complex Patterns (NFMCP 2013)
n3:obor
n5:IN
n3:pocetDomacichTvurcuVysledku
1
n3:pocetTvurcuVysledku
2
n3:rokUplatneniVysledku
n9:2013
n3:tvurceVysledku
Holeňa, Martin GÓRECKI, Jan
n3:typAkce
n18:EUR
n3:zahajeniAkce
2013-09-23+02:00
s:numberOfPages
12
n11:hasPublisher
Neuveden
n15:isbn
978-3-642-37381-7
n14:organizacniJednotka
19520