Research

Main research interests

  • general - computational statistics, machine learning, data science, artificial intelligence
  • specific - hierarchical Archimedean copulas (contruction, fitting, sampling and testing), copula-based Bayesian classifiers, risk management
  • software - MATLAB, Octave, Python

Journal papers

  1. J. Górecki, M. Hofert and O. Okhrin. Outer power transformations of hierarchical Archimedean copulas: Construction, sampling and estimation. arXiv preprint arXiv:2003.13301, 2020. BibTex
  2. J. Górecki, M. Hofert and M. Holeňa. Hierarchical Archimedean Copulas for MATLAB and Octave: The HACopula Toolbox. Journal of Statistical Software. pp. 1-36, 93(10), 2020. Online at GitHub. BibTex
  3. J. Górecki, M. Hofert and M. Holeňa. Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas. Dependence Modeling, pp. 75-87, 5(1), 2017. Online at De Gruyter (Open access). BibTex
  4. J. Górecki, M. Hofert and M. Holeňa. On structure, family and parameter estimation of hierarchical Archimedean copulas. Journal of Statistical Computation and Simulation, Taylor & Francis, pp. 3261-3324, 87(17), 2017. Online at Taylor & Francis. BibTex
  5. J. Górecki, M. Hofert and M. Holeňa. An Approach to Structure Determination and Estimation of Hierarchical Archimedean Copulas and Its Application in Bayesian Classification. Journal of Intelligent Information Systems, Springer Science+Business Media New York, pp. 21-59, 46(1), 2016. Online at Springer. BibTex

Proceedings papers

  1. J. Górecki, M. Hofert and M. Holeňa. On the consistency of an estimator for hierarchical Archimedean copulas. Proceedings of the 32nd International Conference on Mathematical Methods in Economics (MME 2014), pages 239 – 234, Olomouc, Czech Republic, 2014. BibTex
  2. J. Górecki and M. Holeňa. Structure determination and estimation of hierarchical Archimedean copulas based on Kendall correlation matrix. New Frontiers in Mining Complex Patterns, Second International Workshop, NFMCP 2013, Held in Conjunction with ECML-PKDD 2013, Prague, Czech Republic, September 27, 2013, Revised Selected Papers, pages 132-147, 2014. Online at Springer. BibTex
  3. J. Górecki and M. Holeňa. An alternative approach to the structure determination of hierarchical Archimedean copulas. Proceedings of the 31st International Con- ference on Mathematical Methods in Economics (MME 2013), pages 201 – 206, Jihlava, Czech Republic, 2013. BibTex

Software

  • Hierarchical Archimedean Copulas for MATLAB and Octave: The HACopula Toolbox. Available at GitHub.

Curriculum Vitae

PDF (in English)

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