Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas

J. Górecki, M. Hofert, and M. Holeňa. "Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas." Dependence Modeling 5.1 (2017): 75-87. <http://eudml.org/doc/288043>.

@article{J2017,
abstract = {Several successful approaches to structure determination of hierarchical Archimedean copulas (HACs) proposed in the literature rely on agglomerative clustering and Kendall’s correlation coefficient. However, there has not been presented any theoretical proof justifying such approaches. This work fills this gap and introduces a theorem showing that, given the matrix of the pairwise Kendall correlation coefficients corresponding to a HAC, its structure can be recovered by an agglomerative clustering technique.},
author = {J. Górecki, M. Hofert, M. Holeňa},
journal = {Dependence Modeling},
keywords = {structure determination; agglomerative clustering; Kendall’s tau; Archimedean copula},
language = {eng},
number = {1},
pages = {75-87},
title = {Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas},
url = {http://eudml.org/doc/288043},
volume = {5},
year = {2017},
}

TY - JOUR
AU - J. Górecki
AU - M. Hofert
AU - M. Holeňa
TI - Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas
JO - Dependence Modeling
PY - 2017
VL - 5
IS - 1
SP - 75
EP - 87
AB - Several successful approaches to structure determination of hierarchical Archimedean copulas (HACs) proposed in the literature rely on agglomerative clustering and Kendall’s correlation coefficient. However, there has not been presented any theoretical proof justifying such approaches. This work fills this gap and introduces a theorem showing that, given the matrix of the pairwise Kendall correlation coefficients corresponding to a HAC, its structure can be recovered by an agglomerative clustering technique.
LA - eng
KW - structure determination; agglomerative clustering; Kendall’s tau; Archimedean copula
UR - http://eudml.org/doc/288043
ER -