An algorithm for constructing high dimensional distributions from distributions of lower dimension
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Matsypura, Dmytro & Neo, Emily & Prokhorov, Artem, 2016.
"Estimation of Hierarchical Archimedean Copulas as a Shortest Path Problem,"
Elsevier, vol. 149(C), pages 131-134.
- Matsypura, Dmytro & Neo, Emily & Prokhorov, Artem, 2016. "Estimation of Hierarchical Archimedean Copulas as a Shortest Path Prob lem," Working Papers 2123/14745, University of Sydney Business School, Discipline of Business Analytics.
More about this item
KeywordsPseudo-likelihood; Multivariate distribution; Copulas;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
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