Hierarchical Archimedean Copulas for MATLAB and Octave: The HACopula Toolbox
To extend the current implementation of copulas in MATLAB to non-elliptical distributions in arbitrary dimensions enabling for asymmetries in the tails, the toolbox HACopula provides functionality for modeling with hierarchical (or nested) Archimedean copulas. This includes their representation as M...
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| Hauptverfasser: | , , |
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| Format: | Artigo |
| Sprache: | Inglês |
| Veröffentlicht: |
Foundation for Open Access Statistics
2020-05-01
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| Schriftenreihe: | Journal of Statistical Software |
| Schlagworte: | |
| Online-Zugang: | https://www.jstatsoft.org/index.php/jss/article/view/3056 |
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