On the structure and estimation of hierarchical Archimedean copulas

Ostap Okhrin, Yarema Okhrin and Wolfgang Schmid

Journal of Econometrics, 2013, vol. 173, issue 2, 189-204

Abstract: In this paper we provide a method for estimating multivariate distributions defined through hierarchical Archimedean copulas. In general, the true structure of the hierarchy is unknown, but we develop a computationally efficient technique to determine it from the data. For this purpose we introduce a hierarchical estimation procedure for the parameters and provide an asymptotic analysis. We consider both parametric and nonparametric estimation of the marginal distributions. A simulation study and an empirical application show the effectiveness of the grouping procedure in the sense of structure selection.

Keywords: Hierarchical Archimedean copula; Multivariate distribution; Density estimation; Asymptotic theory (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (51)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:173:y:2013:i:2:p:189-204

DOI: 10.1016/j.jeconom.2012.12.001

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