UniversityLibraryCurrent studentsStaff intranet
University of Sydney
University of Sydney
View Item 
  • Sydney eScholarship Home
  • Business (Business School)
  • Business Analytics
  • Publications - Business Analytics
  • View Item
  • Sydney eScholarship Home
  • Business (Business School)
  • Business Analytics
  • Publications - Business Analytics
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Estimation of Hierarchical Archimedean Copulas as a Shortest Path Problem

Thumbnail
View/Open
BAWP-2016-05.pdf (PDF, 265.37KB)
Date
2016-04-16
Author
Matsypura, Dmytro
Neo, Emily
Prokhorov, Artem
Metadata
Show full item record
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.
URI
http://hdl.handle.net/2123/14745
Collections
  • Publications - Business Analytics [59]

Browse

All of Sydney eScholarshipCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsThis CollectionBy Issue DateAuthorsTitlesSubjects

My Account

LoginRegister

Statistics

Most Popular ItemsStatistics by CountryMost Popular Authors

Links

University homeLibraryCurrent studentsStaff intranet

Repository

  • About us
  • FAQ
  • Policies & guidelines
  • Email us
  • Non-UniKey login
Leadership for good starts here

Media

  • News
  • Find an expert
  • Media contacts

Student links

  • Log in to University systems
  • Study dates
  • Student handbooks
  • Timetables
  • Library

About us

  • Our world rankings
  • Faculties and schools
  • Centres and institutes
  • Campus locations
  • Maps and locations

Connect

  • Contact us
  • Find a staff member
  • Careers at Sydney
  • Events
  • Emergencies and personal safety
Inspired: Campaign to support the University of SydneyGroup of Eight
Disclaimer
Privacy
Accessibility
Website feedback
ABN: 15 211 513 464
CRICOS Number: 00026A
Disclaimer
Privacy
Accessibility
Website feedback
ABN: 15 211 513 464
CRICOS Number: 00026A