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Titel:

Hierarchical Kendall copulas: properties and inference

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Brechmann, E. C.
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 paper...     »
Stichworte:
multivariate copula, hierarchical copula, Kendall distribution function
Zeitschriftentitel:
Canadian Journal of Statistics
Jahr:
2014
Band / Volume:
42
Jahr / Monat:
2014-03
Heft / Issue:
1
Seitenangaben Beitrag:
78-108
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.1002/cjs.11204
WWW:
http://onlinelibrary.wiley.com/doi/10.1002/cjs.11204/abstract
Status:
Verlagsversion / published
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
Text
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