Hierarchical Archimedean Copulae: The HAC Package
This paper presents the R package HAC, which provides user friendly methods for dealing with hierarchical Archimedean copulae (HAC). Computationally efficient estimation procedures allow to recover the structure and the parameters of HAC from data. In addition, arbitrary HAC can be constructed to sa...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Foundation for Open Access Statistics
2014-06-01
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| Series: | Journal of Statistical Software |
| Online Access: | http://www.jstatsoft.org/index.php/jss/article/view/2147 |