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Document type:
Zeitschriftenaufsatz 
Author(s):
Brechmann, E. C. 
Title:
Hierarchical Kendall copulas: properties and inference 
Abstract:
While there is substantial need for dependence models in high dimensions, most existing models strongly suffer from the curse of dimensionality and barely balance parsimony and flexibility. In this paper, the new class of hierarchical Kendall copulas is proposed to tackle these problems. Constructed with flexible copulas specified for groups of variables in different hierarchical levels, hierarchical Kendall copulas provide a new way to model complex dependence patterns. The...    »
 
Keywords:
multivariate copula, hierarchical copula, Kendall distribution function 
Journal title:
Canadian Journal of Statistics 
Year:
2014 
Journal volume:
42 
Year / month:
2014-03 
Journal issue:
Pages contribution:
78-108 
Reviewed:
ja 
Language:
en 
Fulltext / DOI:
Status:
Verlagsversion / published 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text