Penalized estimation of hierarchical Archimedean copula

Publikation: Beitrag in FachzeitschriftForschungsartikelBeigetragenBegutachtung

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

OriginalspracheEnglisch
Aufsatznummer105274
FachzeitschriftJournal of Multivariate Analysis
Jahrgang201
PublikationsstatusVeröffentlicht - 2023
Peer-Review-StatusJa

Externe IDs

Mendeley 5e7e3500-7ce4-3c76-8d6b-33e8cc101f05
ORCID /0000-0002-8909-4861/work/156337761

Schlagworte

Schlagwörter

  • Hierarchical Archimedean copula, Maximum likelihood estimation, Stage-wise estimation