  Research on structure determination and parameter estimation of hierarchical
Archimedean copulas (HACs) has so far mostly focused on the case in which all
appearing Archimedean copulas belong to the same Archimedean family. The
present work addresses this issue and proposes a new approach for estimating
HACs that involve different Archimedean families. It is based on employing
goodness-of-fit test statistics directly into HAC estimation. The approach is
summarized in a simple algorithm, its theoretical justification is given and
its applicability is illustrated by several experiments, which include
estimation of HACs involving up to five different Archimedean families.
