ARTICLE
TIME-VARYING HIERARCHICAL ARCHIMEDEAN COPULAS: A NON-PARAMETRIC APPROACH
- Far East Journal of Theoretical Statistics
Lien de l'article :
https://doi.org/10.17654/0972086324022
Discipline :
Mathématiques
Auteur(s) :
Dodo Natatou Moutari, Benjamin Wengoundi Nikiéma, Hassane Abba Mallam, Barro Diakarya, B. Saley
Auteur(s) tagués :
NIKIEMA Wengoundi Benjamin
Renseignée par : NIKIEMA Wengoundi Benjamin
Résumé
A non-parametric approach based on U-statistics in the construction of the time-varying hierarchical Archimedean copula model has been proposed. The procedure aims to analyze changes in the Kendall correlation matrix computed from the observations. This makes it possible to identify local segments of homogeneity and to construct a hierarchical Archimedean copula model on each segment. The simulations performed made it possible to assess the power of the proposed procedure.
Mots-clés
Aucun mot-clé renseigné.