Estimation of Hierarchical Archimedean Copulas as a Shortest Path Problem

Dmytro Matsypura, Emily Neo and Artem Prokhorov

Economics Letters, 2016, vol. 149, issue C, 131-134

Abstract: We formulate the problem of finding and estimating the optimal hierarchical Archimedean copula as an amended shortest path problem. The standard network flow problem is amended by certain constraints specific to copulas, which limit scalability of the problem. However, we show in dimensions as high as twenty that the new approach dominates the alternatives which usually require recursive estimation or full enumeration.

Keywords: Network flow problem; Copulas (search for similar items in EconPapers)
JEL-codes: C13 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:149:y:2016:i:c:p:131-134

DOI: 10.1016/j.econlet.2016.10.034

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