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Hierarchical Archimedean Copulae: The HAC Package

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  • Ostap Okhrin
  • Alexander Ristig

Abstract

This paper aims at explanation of the R-package HAC, which provides user friendly methods for dealing with high-dimensional hierarchical Archimedean copulae (HAC). A computationally ecient estimation procedure allows to recover the structure and the parameters of HACs from data. In addition, arbitrary HACs can be constructed to sample random vectors and to compute the values of the corresponding cumulative distribution as well as density functions. Accurate graphics of the important characteristics of the package's object hac can be produced by the generic plot function.

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File URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2012-036.pdf
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Bibliographic Info

Paper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2012-036.

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Length: 22 pages
Date of creation: May 2012
Date of revision:
Handle: RePEc:hum:wpaper:sfb649dp2012-036

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Keywords: copula; R; hierarchical Archimedean copula (HAC);

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  1. Ostap Okhrin & Yarema Okhrin & Wolfgang Schmid, 2009. "Properties of Hierarchical Archimedean Copulas," SFB 649 Discussion Papers SFB649DP2009-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
  3. Marius Hofert & Martin Maechler, . "Nested Archimedean Copulas Meet R: The nacopula Package," Journal of Statistical Software, American Statistical Association, American Statistical Association, vol. 39(i09).
  4. Ivan Kojadinovic & Jun Yan, . "Modeling Multivariate Distributions with Continuous Margins Using the copula R Package," Journal of Statistical Software, American Statistical Association, American Statistical Association, vol. 34(i09).
  5. Genest, Christian & RĂ©millard, Bruno & Beaudoin, David, 2009. "Goodness-of-fit tests for copulas: A review and a power study," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 199-213, April.
  6. Cornelia Savu & Mark Trede, 2010. "Hierarchies of Archimedean copulas," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 10(3), pages 295-304.
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