Estimation of Hierarchical Archimedean Copulas as a Shortest Path Prob lem
Dmytro Matsypura, Emily Neo, Artem B. Prokhorov · The Sydney eScholarship Repository (The University of Sydney) · 2016
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.