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...
Tallennettuna:
| Päätekijät: | , , |
|---|---|
| Aineistotyyppi: | Artigo |
| Kieli: | Inglês |
| Julkaistu: |
Foundation for Open Access Statistics
2020-05-01
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| Sarja: | Journal of Statistical Software |
| Aiheet: | |
| Linkit: | https://www.jstatsoft.org/index.php/jss/article/view/3056 |
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