首页    期刊浏览 2024年10月06日 星期日
登录注册

文章基本信息

  • 标题:Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas
  • 本地全文:下载
  • 作者:J. Górecki ; M. Hofert ; M. Holeňa
  • 期刊名称:Dependence Modeling
  • 电子版ISSN:2300-2298
  • 出版年度:2017
  • 卷号:5
  • 期号:1
  • 页码:75-87
  • DOI:10.1515/demo-2017-0005
  • 出版社:Walter de Gruyter GmbH
  • 摘要:

    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.

  • 关键词:structure determination ; agglomerative clustering ; Kendall’s tau ; Archimedean copula MSC 2010: 62H99
国家哲学社会科学文献中心版权所有