On the Consistency of an Estimator for Hierarchical Archimedean Copulas

Authors: J. Górecki, M. Hofert, Martin Holeňa
Publication year: 2014
Publication type: Konferenční příspěvek (mezinárodní konf.)
Periodical: Proceedings of 32nd International Conference Mathematical Methods in Economics MME 2014
Projects: Constructing Advanced Comprehensible Classifiers
Bibliographic citation: GÓRECKI, J., HOFERT, M., HOLEŇA, Martin. On the Consistency of an Estimator for Hierarchical Archimedean Copulas. In: TALAŠOVÁ, J., STOKLASA, J., TALÁŠEK, T., eds. Proceedings of 32nd International Conference Mathematical Methods in Economics MME 2014. Olomouc: Palacký University, 2014, S. 239-244. ISBN 978-80-244-4209-9.
ID: 446436

Abstract

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.