Estimation of Hierarchical Archimedean Copulas as a Shortest Path Problem

C-Tier
Journal: Economics Letters
Year: 2016
Volume: 149
Issue: C
Pages: 131-134

Authors (3)

Matsypura, Dmytro (not in RePEc) Neo, Emily (not in RePEc) Prokhorov, Artem (St. Petersburg State Universit...)

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:149:y:2016:i:c:p:131-134
Journal Field
General
Author Count
3
Added to Database
2026-01-29