Hierarchical Archimedean Copulas for MATLAB and Octave: The HACopula Toolbox
Dublin Core
Title
Hierarchical Archimedean Copulas for MATLAB and Octave: The HACopula Toolbox
Subject
copula, hierarchical Archimedean copula, structure, family, estimation, collapsing,
sampling, goodness-of-fit, Kendall’s tau, tail dependence, MATLAB, Octave.
sampling, goodness-of-fit, Kendall’s tau, tail dependence, MATLAB, Octave.
Description
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 MATLAB objects, evaluation, sampling, estimation
and goodness-of-fit testing, as well as tools for their visual representation or computation
of corresponding matrices of Kendall’s tau and tail dependence coefficients. These are
first presented in a quick-and-simple manner and then elaborated in more detail to show
the full capability of HACopula. As an example, sampling, estimation and goodness-of-fit
of a 100-dimensional hierarchical Archimedean copula is presented, including a speed up
of its computationally most demanding part. The toolbox is also compatible with Octave,
where no support for copulas in more than two dimensions is currently provided.
provides functionality for modeling with hierarchical (or nested) Archimedean copulas.
This includes their representation as MATLAB objects, evaluation, sampling, estimation
and goodness-of-fit testing, as well as tools for their visual representation or computation
of corresponding matrices of Kendall’s tau and tail dependence coefficients. These are
first presented in a quick-and-simple manner and then elaborated in more detail to show
the full capability of HACopula. As an example, sampling, estimation and goodness-of-fit
of a 100-dimensional hierarchical Archimedean copula is presented, including a speed up
of its computationally most demanding part. The toolbox is also compatible with Octave,
where no support for copulas in more than two dimensions is currently provided.
Creator
Jan Górecki
Source
https://www.jstatsoft.org/article/view/v093i10
Publisher
Silesian University
in Opava
in Opava
Date
April 2020
Contributor
Fajar bagus W
Format
PDF
Language
Inggris
Type
Text
Files
Collection
Citation
Jan Górecki, “Hierarchical Archimedean Copulas for MATLAB and Octave: The HACopula Toolbox,” Repository Horizon University Indonesia, accessed April 4, 2025, https://repository.horizon.ac.id/items/show/8129.