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Journal of Statistical Computation and Simulation Volume 87, 2017 - Issue 17
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Original Articles

On structure, family and parameter estimation of hierarchical Archimedean copulas

Jan GóreckiDepartment of Informatics, SBA in Karviná, Silesian University in Opava, Karviná, Czech RepublicCorrespondence[email protected]
ORCID Iconhttp://orcid.org/0000-0001-5263-8637View further author information
ORCID Icon,
Marius HofertDepartment of Statistics and Actuarial Science, University of Waterloo, Waterloo, ON, CanadaORCID Iconhttp://orcid.org/0000-0001-8009-4665View further author information
ORCID Icon &
Martin HoleňaInstitute of Computer Science, Academy of Sciences of the Czech Republic, Praha, Czech RepublicORCID Iconhttp://orcid.org/0000-0002-2536-9328View further author information
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Pages 3261-3324 | Received 25 Oct 2016, Accepted 04 Aug 2017, Published online: 24 Aug 2017

Citations (13)

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J. Górecki & M. Hofert. (2023) Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions. Journal of Statistical Computation and Simulation 93:13, pages 2321-2355.
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Articles from other publishers (12)

Yi Yang, Chen Fang, Yongle Li, Cheng Xu & Zhanhui Liu. (2024) Multivariate joint distribution of five-dimensional wind and wave parameters in the sea-crossing bridge region using Hierarchical Archimedean Copulas. Journal of Wind Engineering and Industrial Aerodynamics 247, pages 105684.
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Yuan LuJian ChenNing Tian. (2023) Improvement of Bivariate Cross-Correlated Random Field Modeling Based on Archimedean Copulas. Improvement of Bivariate Cross-Correlated Random Field Modeling Based on Archimedean Copulas.
Joshua Größer & Ostap Okhrin. (2021) Copulae: An overview and recent developments. WIREs Computational Statistics 14:3.
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Benjamin Poignard & Jean-David Fermanian. (2021) The finite sample properties of sparse M-estimators with pseudo-observations. Annals of the Institute of Statistical Mathematics 74:1, pages 1-31.
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Thong Nguyen-Huy, Ravinesh C. Deo, Shahjahan Khan, Aruna Devi, Adewuyi Ayodele Adeyinka, Armando A. Apan & Zaher Mundher Yaseen. (2022) Student Performance Predictions for Advanced Engineering Mathematics Course With New Multivariate Copula Models. IEEE Access 10, pages 45112-45136.
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Jan Górecki, Marius Hofert & Ostap Okhrin. (2021) Outer power transformations of hierarchical Archimedean copulas: Construction, sampling and estimation. Computational Statistics & Data Analysis 155, pages 107109.
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Ihsan Chaoubi, Hélène Cossette, Etienne Marceau & Christian Y. Robert. (2021) Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs. Computational Statistics & Data Analysis 154, pages 107071.
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Andreia Filipa Silva Ribeiro, Ana Russo, Célia Marina Gouveia, Patrícia Páscoa & Jakob Zscheischler. (2020) Risk of crop failure due to compound dry and hot extremes estimated with nested copulas. Biogeosciences 17:19, pages 4815-4830.
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Hélène Cossette, Simon-Pierre Gadoury, Etienne Marceau & Christian Y. Robert. (2019) Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions. Journal of Multivariate Analysis 172, pages 59-83.
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Jan-Frederik Mai. (2019) Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case. Dependence Modeling 7:1, pages 202-214.
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Samuel Perreault, Thierry Duchesne & Johanna G. Nešlehová. (2019) Detection of block-exchangeable structure in large-scale correlation matrices. Journal of Multivariate Analysis 169, pages 400-422.
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Hélène Cossette, Simon-Pierre Gadoury, Étienne Marceau & Itre Mtalai. (2017) Hierarchical Archimedean copulas through multivariate compound distributions. Insurance: Mathematics and Economics 76, pages 1-13.
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