J. Hlaváčová (Ed.): ITAT 2017 Proceedings, p. 3
CEUR Workshop Proceedings Vol. 1885, ISSN 1613-0073, c 2017 O. Okhrin



                         Estimations of the Hierarchical Archimedean Copula

                                                            Ostap Okhrin1

                                         Dresden University of Technology, Germany
                                             ostap.okhrin@tu-dresden.de,
                  WWW home page: https://tu-dresden.de/bu/verkehr/ivw/osv/die-professur/inhaber-in

     Abstract: We discuss several estimators, of the hierarchi-
     cal Archimedean copulas. In one, we propose the estima-
     tion 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 proce-
     dure are discussed. In the other method we propose the
     estimator, that uses cluster algorithm in order to obtain the
     structure and the parameters. Third method is based on
     the maximum likelihood technique. This talk is based on
     the several papers together with Y. Okhrin, W. Schmid,
     A. Ristig, A. Tetereva.                                         he made research stays at different international univer-
                                                                     sities, f.e. SWUFE (Chengdu, China), Vienna Univer-
                                                                     sity (Austria), Princeton University (USA), University
        Ostap Okhrin (born 1984) studied mathematics (B.Sc.          of Chicago (USA), Michigan University (USA). Ostap
     in 2004) and statistics (M.Sc. in 2005) at the Ivan Franko      Okhrin is in the editorial boards of four international Jour-
     National University in Lviv, Ukraine. In 2008 he defended       nals as well as author of articles in journals as Journal of
     his PhD thesis at the Europa Universität Viadrina in Frank-     the American Statistical Association, Journal of Econo-
     furt (Oder) and was appointed as the Assistant Professor at     metrics, Econometric Theory, etc. He specialized in the
     the Humboldt-Universität zu Berlin. Prior his appointment       multivariate distributions esp. copulas, their properties and
     at the TU Dresden he was an Associate Professor at the          applications in various fields from weather, over insurance
     Humboldt-Universität zu Berlin (2014-2015). Since 2011          to high-frequency data.