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Hierarchical Archimedean Copulas for Matlab and Octave: The HACopula Toolbox

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    0525271 - ÚI 2021 RIV US eng J - Článek v odborném periodiku
    Górecki, J. - Hofert, M. - Holeňa, Martin
    Hierarchical Archimedean Copulas for Matlab and Octave: The HACopula Toolbox.
    Journal of Statistical Software. Roč. 93, č. 10 (2020), s. 1-36. ISSN 1548-7660. E-ISSN 1548-7660
    Grant CEP: GA ČR GA17-01251S
    Institucionální podpora: RVO:67985807
    Klíčová slova: copula * hierarchical Archimedean copula * structure * family * estimation * collapsing * sampling * goodness-of-fit * Kendall’s tau * tail dependence * MATLAB * Octave
    Obor OECD: Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)
    Impakt faktor: 6.440, rok: 2020
    Způsob publikování: Open access

    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.
    Trvalý link: http://hdl.handle.net/11104/0309452

     
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