Penalized estimation of hierarchical Archimedean copula
Publikation: Beitrag in Fachzeitschrift › Forschungsartikel › Beigetragen › Begutachtung
Beitragende
Abstract
This manuscript discusses a novel estimation approach for parametric hierarchical Archimedean copula. The parameters and structure of this copula are simultaneously estimated while imposing a non-concave penalty on differences between parameters which coincides with an implicit penalty on the copula's structure. The asymptotic properties of the resulting penalized estimator are studied and small sample properties are illustrated using simulations.
Details
Originalsprache | Englisch |
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Aufsatznummer | 105274 |
Fachzeitschrift | Journal of Multivariate Analysis |
Jahrgang | 201 |
Publikationsstatus | Veröffentlicht - 2023 |
Peer-Review-Status | Ja |
Externe IDs
Mendeley | 5e7e3500-7ce4-3c76-8d6b-33e8cc101f05 |
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ORCID | /0000-0002-8909-4861/work/156337761 |
Schlagworte
ASJC Scopus Sachgebiete
Schlagwörter
- Hierarchical Archimedean copula, Maximum likelihood estimation, Stage-wise estimation