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HAC (version 0.1-7)

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).

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Version

Install

install.packages('HAC')

Monthly Downloads

957

Version

0.1-7

License

GPL (>= 3)

Maintainer

Ostap Okhrin

Last Published

October 26th, 2011

Functions in HAC (0.1-7)

plot.hac

Plot of a HAC
tree2str

String structure of HAC
definitions

Definitions
pHAC

Cumulative distribution function
hac

Construction of hac objects
phi, phi.inv

Generator function
rAC

Simulation of Archimedean Copulae
estimate.copula

Estimation of the structure of HAC
aggregate.hac

Aggregation of variables
dAC, dHAC

Probability density function
copMult

d dim copula
theta2tau, tau2theta

Kendall's rank correlation coefficient
rHAC

Simulation of a defined HAC
get.params

Dependency parameters of a HAC
emp.copula

Empirical copula