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

页码：239 / 244

页数：6

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