文章基本信息

标题：Hierarchical Archimedean Copulae: The HAC Package
本地全文：下载
作者：Ostap Okhrin ; Alexander Ristig
期刊名称：Journal of Statistical Software
印刷版ISSN：1548-7660
电子版ISSN：1548-7660
出版年度：2014
卷号：58
期号：1
页码：1-20
语种：English
出版社：University of California, Los Angeles
摘要：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.