One of the features inherent in nested Archimedean copulas, also called hierarchical Archimedean copulas, is their rooted tree structure. A nonparametric, rank-based method to estimate this structure is presented. The idea is to represent the target structure as a set of trivariate structures,...

This paper is concerned with hierarchical data having three levels. The level 1 units are nested in the level 2 units or subclusters which are themselves nested in the level 3 clusters. The model for this data is assumed to fulfill some symmetry assumptions. The level 1 units within each...

In this paper we provide a method for estimating multivariate distributions defined through hierarchical Archimedean copulas. In general, the true structure of the hierarchy is unknown, but we develop a computationally efficient technique to determine it from the data. For this purpose we...