Learn R Programming
⚠️There's a newer version (1.1-1) of this package.Take me there.

HAC (version 0.1-1)

Estimation, simulation and visualization of Hierarchical Archimedean Copulae (HAC)

Description

Package provides the estimation of the structure and the parameters, simulation methods and structural plots of high-dimensional Hierarchical Archimedean Copulae (HAC).

Copy Link

Version

Install

install.packages('HAC')

Monthly Downloads

1,010

Version

0.1-1

License

GPL (>= 3)

Maintainer

Ostap Okhrin

Last Published

July 29th, 2011

Functions in HAC (0.1-1)

hac

Construction of hac objects
dAC, dHAC

Probability density function
pHAC

Cumulative distribution function
rAC

Simulation of Archimedean Copulae
phi, phi.inv

Generator function
tree2str

String structure of a HAC
definitions

Definitions
rHAC

Simulation of a defined HAC
emp.copula

Empirical copula
copMult

2dim copula
estimate.copula

Estimation of the structure of HAC
aggregate.hac

Aggregation of variables
theta2tau, tau2theta

Kendall's rank correlation coefficient
plot.hac

Plot of a HAC
get.params

Dependency parameters of a HAC