Semiparametric Estimation and Panel Data Clustering Analysis Based on D-Vine and C-Vine

• Main Authors: Hong Li, Yuantao Xie, Juan Yang, Di Wang
• Format: Article
• Language: English
• Published: Hindawi Limited 2018-01-01
• Series: Mathematical Problems in Engineering
• Online Access: http://dx.doi.org/10.1155/2018/5840296

This paper proposed a panel data clustering model based on D-vine and C-vine and supported a semiparametric estimation for parameters. These models include a two-step inference function for margins, two-step semiparameter estimation, and stepwise semiparametric estimation. In similarity measurement, similarity coefficients are constructed by a multivariate Hierarchical Nested Archimedean Copula (HNAC) model and compound PCC models, which are HNAC and D-vine compound model and HNAC and C-vine compound model. Estimation solutions and models evaluation are given for these models. In the case study, the clustering results of HNAC and D-vine compound model and HNAC and C-vine compound model are given, and the effect of different copula families on clustering results is also discussed. The result shows the models are effective and useful.