Hierarchical Archimedean Copulae: The HAC Package

Ostap Okhrin and Alexander Ristig

Journal of Statistical Software, 2014, vol. 058, issue i04

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.

Date: 2014-06-30
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Persistent link: https://EconPapers.repec.org/RePEc:jss:jstsof:v:058:i04

DOI: 10.18637/jss.v058.i04

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