Arbeitspapier
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 effcient 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.
- Language
-
Englisch
- Bibliographic citation
-
Series: SFB 649 Discussion Paper ; No. 2012-036
- Classification
-
Wirtschaft
Model Construction and Estimation
Econometric Software
- Subject
-
copula
hierarchical Archimedean copula (HAC)
Kopula (Mathematik)
Statistische Methodenlehre
PC-Software
- Event
-
Geistige Schöpfung
- (who)
-
Okhrin, Ostap
Ristig, Alexander
- Event
-
Veröffentlichung
- (who)
-
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (where)
-
Berlin
- (when)
-
2012
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Okhrin, Ostap
- Ristig, Alexander
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Time of origin
- 2012
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