Hierarchical archimedean copulae: The HAC package
Publikation: Beitrag in Fachzeitschrift › Forschungsartikel › Beigetragen › Begutachtung
Beitragende
Abstract
This paper presents the R package HAC, which provides user friendly methods for dealing with hierarchical Archimedean copulae (HAC). Computationally ecient estimationprocedures allow to recover the structure and the parameters of HAC from data. In addition, arbitrary HAC can be constructed to sample random vectors and to compute the values of the corresponding cumulative distribution plus density functions. Accurate graphics of the HAC structure can be produced by the plot method implemented for these objects.
Details
Originalsprache | Englisch |
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Seiten (von - bis) | 1-20 |
Seitenumfang | 20 |
Fachzeitschrift | Journal of statistical software |
Jahrgang | 58 |
Ausgabenummer | 4 |
Publikationsstatus | Veröffentlicht - 2014 |
Peer-Review-Status | Ja |
Extern publiziert | Ja |
Externe IDs
Scopus | 84922702455 |
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ORCID | /0000-0002-8909-4861/work/171064889 |
Schlagworte
Schlagwörter
- Copula, HAC, Hierarchical archimedean copula, R