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Estimation of Hierarchical Archimedean Copulas as a Shortest Path Prob lem

Author

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  • Matsypura, Dmytro
  • Neo, Emily
  • Prokhorov, Artem

Abstract

We formulate the problem of finding and estimating the optimal hierarchical Archimedean copula as an amended shortest path problem. The standard network flow problem is amended by certain constraints specific to copulas, which limit scalability of the problem. However, we show in dimensions as high as twenty that the new approach dominates the alternatives which usually require recursive estimation or full enumeration.

Suggested Citation

  • 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.
    • Handle: RePEc:syb:wpbsba:2123/14745
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    Cited by:

    1. Mai Jan-Frederik, 2019. "Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case," Dependence Modeling, De Gruyter, vol. 7(1), pages 202-214, January.
    2. Górecki J. & Hofert M. & Holeňa M., 2017. "Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas," Dependence Modeling, De Gruyter, vol. 5(1), pages 75-87, January.

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    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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