Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/79589
Authors: 
Okhrin, Ostap
Ristig, Alexander
Year of Publication: 
2012
Series/Report no.: 
SFB 649 Discussion Paper 2012-036
Abstract: 
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.
Subjects: 
copula
R
hierarchical Archimedean copula (HAC)
JEL: 
C51
C87
Document Type: 
Working Paper

Files in This Item:
File
Size
639.72 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.