A non-parametric approach based on U-statistics in the construction of the time-varying hierarchical Archimedean copula model has been proposed. The procedure aims to analyze changes in the Kendall correlation matrix computed from the observations. This makes it possible to identify local segments of homogeneity and to construct a hierarchical Archimedean copula model on each segment. The simulations performed made it possible to assess the power of the proposed procedure.

hierarchical Archimedean copula, copula estimation, Kendall correlation matrix, U-statistics, CUSUM statistics, dynamic dependence

Received: September 4, 2024; Accepted: October 7, 2024; Published: October 19, 2024

How to cite this article: Dodo Natatou Moutari, Benjamin Wengoundi Nikiéma, Hassane Abba Mallam, Barro Diakarya and Bisso Saley, Time-varying hierarchical Archimedean copulas: a non-parametric approach, Far East Journal of Theoretical Statistics 68(3) (2024), 405-427. https://doi.org/10.17654/0972086324022

This Open Access Article is Licensed under Creative Commons Attribution 4.0 International License

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