Ostap Okhrin: Penalized Estimation of Hierarchical Archimedean Copula
Time: Wed 2017-03-01 15.15
Location: Room 306, House 6, Kräftriket, Department of Mathematics, Stockholm University
Participating: Ostap Okhrin (TU Dresden)
Abstract:
This letter proposes the estimation of parametric hierarchical Archimedean copula while imposing an implicit penalty on its structure. Asymptotic properties of this sparse estimator are derived and issues relevant for the implementation of the estimation procedure are discussed.