Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas

• Autorzy: J. Górecki , M. Hofert , M. Holeňa
• Języki publikacji: EN

Abstrakty

EN

Several successful approaches to structure determination of hierarchical Archimedean copulas (HACs) proposed in the literature rely on agglomerative clustering and Kendall’s correlation coefficient. However, there has not been presented any theoretical proof justifying such approaches. This work fills this gap and introduces a theorem showing that, given the matrix of the pairwise Kendall correlation coefficients corresponding to a HAC, its structure can be recovered by an agglomerative clustering technique.

Słowa kluczowe

EN

structure determination; agglomerative clustering; Kendall’s tau; Archimedean copula

• Wydawca: De Gruyter Open
• Czasopismo: Dependence Modeling
• Rocznik: 2017
• Tom: 5
• Numer: 1
• Strony: 75-87

Daty

wydano

2017-01-01

otrzymano

2016-12-27

zaakceptowano

2017-02-24

online

2017-04-07

Twórcy

autor

J. Górecki

• Department of Informatics, SBA in Karviná, Silesian University in Opava, Univerzitní námestí 1934/3, 733 40 Karviná,

autor

M. Hofert

• Department of Statistics and Actuarial Science, University of Waterloo, 200 University Avenue West, Waterloo, ON,

autor

M. Holeňa

• Institute of Computer Science, Academy of Sciences of the Czech Republic, Pod vodárenskou veží 271/2, 182 07 Praha,

Identyfikatory

DOI

10.1515/demo-2017-0005