Hierarchical Archimedean Copulae: The HAC Package
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.
|Date of creation:||May 2012|
|Date of revision:|
|Contact details of provider:|| Postal: Spandauer Str. 1,10178 Berlin|
Web page: http://sfb649.wiwi.hu-berlin.de
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Cornelia Savu & Mark Trede, 2010. "Hierarchies of Archimedean copulas," Quantitative Finance, Taylor & Francis Journals, vol. 10(3), pages 295-304.
- Genest, Christian & Rémillard, 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.
- Ostap Okhrin & Yarema Okhrin & Wolfgang Schmid, 2009. "Properties of Hierarchical Archimedean Copulas," SFB 649 Discussion Papers SFB649DP2009-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
- Kojadinovic, Ivan & Yan, Jun, 2010. "Modeling Multivariate Distributions with Continuous Margins Using the copula R Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 34(i09).
- repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
- Hofert, Marius & Maechler, Martin, 2011. "Nested Archimedean Copulas Meet R: The nacopula Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 39(i09).
When requesting a correction, please mention this item's handle: RePEc:hum:wpaper:sfb649dp2012-036. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (RDC-Team)
If references are entirely missing, you can add them using this form.