Penalized estimation of hierarchical Archimedean copula

Research output: Contribution to journalResearch articleContributedpeer-review

Contributors

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

Original languageEnglish
Article number105274
JournalJournal of Multivariate Analysis
Volume201
Publication statusPublished - 2023
Peer-reviewedYes

External IDs

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

Keywords

Keywords

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