Archive for Archimedean copulas

Christian Robert is giving a talk in Jussieu tomorrow

Posted in Statistics, University life with tags , , , , , , , on September 26, 2019 by xi'an

My namesake Christian (Yann) Robert (CREST) is giving a seminar tomorrow in Jussieu (Université Pierre & Marie Curie, couloir 16-26, salle 209), between 2 and 3, on composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions. Here is the abstract:

We consider the family of hierarchical Archimedean copulas obtained from multivariate exponential mixture distributions through compounding, as introduced by Cossette et al. (2017). We investigate ways of determining the structure of these copulas and estimating their parameters. An agglomerative clustering technique based on the matrix of Spearman’s rhos, combined with a bootstrap procedure, is used to identify the tree structure. Parameters are estimated through a top-down composite likelihood. The validity of the approach is illustrated through two simulation studies in which the procedure is explained step by step. The composite likelihood method is also compared to the full likelihood method in a simple case where the latter is computable.