Published by the Foundation for Open Access Statistics Editors-in-chief: Bettina Grün, Torsten Hothorn, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
Authors: Ostap Okhrin, Alexander Ristig
Title: Hierarchical Archimedean Copulae: The HAC Package
Abstract: This paper presents the R package HAC, which provides user friendly methods for dealing with hierarchical Archimedean copulae (HAC). Computationally efficient estimation procedures 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.

Page views:: 2031. Submitted: 2012-05-18. Published: 2014-06-30.
Paper: Hierarchical Archimedean Copulae: The HAC Package     Download PDF (Downloads: 2506)
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HAC_1.0-0.tar.gz: R source package Download (Downloads: 262; 507KB)
v58i04.R: R example code from the paper Download (Downloads: 301; 16KB)
DOI: 10.18637/jss.v058.i04

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Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.