Hierarchical archimedean copulae: The HAC package
Research output: Contribution to journal › Research article › Contributed › peer-review
Contributors
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
Original language | English |
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Pages (from-to) | 1-20 |
Number of pages | 20 |
Journal | Journal of statistical software |
Volume | 58 |
Issue number | 4 |
Publication status | Published - 2014 |
Peer-reviewed | Yes |
Externally published | Yes |
External IDs
Scopus | 84922702455 |
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ORCID | /0000-0002-8909-4861/work/171064889 |
Keywords
Keywords
- Copula, HAC, Hierarchical archimedean copula, R