Fitting the Data with Depedent Structure by Using ACE Method
Junjian Zhang, Dongxiang Liu · Application of Statistics and Management · 2008
ACE method,as a nonparametric algorithm,is used to investigate the structure of Archimedean copulas.The method deletes the assumption of known structure which is needed for genera- tor of Archimedean copulas in traditional methods,and extends the applied range of copulas.Simulation results show that ACE method is not worse than the traditional methods,and that ACE method is useful for identifying the dependent structure.