Hierarchical archimedean copulae: The HAC package

Research output: Contribution to journalResearch articleContributedpeer-review

Contributors

  • Ostap Okhrin - , Humboldt University of Berlin (Author)
  • Alexander Ristig - , Humboldt University of Berlin (Author)

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 languageEnglish
Pages (from-to)1-20
Number of pages20
JournalJournal of statistical software
Volume58
Issue number4
Publication statusPublished - 2014
Peer-reviewedYes
Externally publishedYes

External IDs

Scopus 84922702455
ORCID /0000-0002-8909-4861/work/171064889

Keywords

Keywords

  • Copula, HAC, Hierarchical archimedean copula, R