A polyhedral framework for hierarchical Archimedean copulas: estimation, hierarchy recovery and singular asymptotics

Abstract

Hierarchical Archimedean copulas (HACs) admit redundant tree representations: when adjacent internal nodes have equal parameters, contracting the connecting edge leaves the copula unchanged. This creates a structural overparametrization. For homogeneous one-parameter families, we remove this redundancy and identify the resulting reduced model class with the ultrametric fan. We treat the Clayton, Frank, Ali-Mikhail-Haq, Gumbel and Joe families. Using the negative logit of normalized Kendall's tau as a common node-height coordinate, reduced hierarchies form polyhedral strata, binary hierarchies index maximal cones, and multifurcating hierarchies lie on common contraction faces. The induced cophenetic metric generates the same topology as uniform convergence of copulas. We also show that informative pairwise dependence summaries act componentwise on cophenetic coordinates and hence provide global coordinates for the reduced model. This representation yields a global estimator obtained by inverting estimated pairwise summaries and projecting onto the fan, without preselecting a hierarchy. We prove consistency and convergence-rate transfer. At binary truths, the unthresholded estimator recovers the hierarchy with probability tending to one; at multifurcating truths, it asymptotically selects a binary refinement, while vanishing thresholding consistently recovers the reduced hierarchy. Under a joint central limit theorem for the pairwise summaries, the projected estimator has a root-$n$ limit given by Euclidean projection of a Gaussian vector onto the tangent fan. The limit is Gaussian at binary hierarchies and generally non-Gaussian at multifurcating ones. For empirical Kendall's tau, we verify the required regularity conditions and obtain the corresponding singular limit.