On the consistency of an estimator for hierarchical Archimedean copulas

被引：0
作者：
Gorecki, Jan [1 ]
Hofert, Marius [2 ]
Holena, Martin [3 ]
机构：
[1] Silesian Univ, SBA Karvina, Dept Informat, Opava Karvina, Czech Republic
[2] Univ Waterloo, Dept Stat & Actuarial Sci, Waterloo, ON N2L 3G1, Canada
[3] Acad Sci Czech Republic, Inst Comp Sci, Prague, Czech Republic
来源：
MATHEMATICAL METHODS IN ECONOMICS (MME 2014) | 2014年
关键词：
Hierarchical Archimedean copula; Kendall distribution function; parameter estimation; structure determination; consistency;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The paper addresses an estimation procedure for hierarchical Archimedean copulas, which has been proposed in the literature. It is shown here that this estimation is not consistent in general. Furthermore, a correction is proposed, which leads to a consistent estimator.
引用
收藏
页码：239 / 244
页数：6
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