Penalized estimation of hierarchical Archimedean copula
Research output: Contribution to journal › Research article › Contributed › peer-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 language | English |
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Article number | 105274 |
Journal | Journal of Multivariate Analysis |
Volume | 201 |
Publication status | Published - 2023 |
Peer-reviewed | Yes |
External IDs
Mendeley | 5e7e3500-7ce4-3c76-8d6b-33e8cc101f05 |
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ORCID | /0000-0002-8909-4861/work/156337761 |
Keywords
ASJC Scopus subject areas
Keywords
- Hierarchical Archimedean copula, Maximum likelihood estimation, Stage-wise estimation