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Hierarchical Archimedean Copulas for Matlab and Octave: The HACopula Toolbox
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SYSNO ASEP 0525271 Druh ASEP J - Článek v odborném periodiku Zařazení RIV J - Článek v odborném periodiku Poddruh J Článek ve WOS Název Hierarchical Archimedean Copulas for Matlab and Octave: The HACopula Toolbox Tvůrce(i) Górecki, J. (CZ)
Hofert, M. (CA)
Holeňa, Martin (UIVT-O) SAI, RIDZdroj.dok. Journal of Statistical Software. - : Foundation for Open Access Statistics - ISSN 1548-7660
Roč. 93, č. 10 (2020), s. 1-36Poč.str. 36 s. Forma vydání Tištěná - P Jazyk dok. eng - angličtina Země vyd. US - Spojené státy americké Klíč. slova copula ; hierarchical Archimedean copula ; structure ; family ; estimation ; collapsing ; sampling ; goodness-of-fit ; Kendall’s tau ; tail dependence ; MATLAB ; Octave Vědní obor RIV IN - Informatika Obor OECD Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8) CEP GA17-01251S GA ČR - Grantová agentura ČR Způsob publikování Open access Institucionální podpora UIVT-O - RVO:67985807 UT WOS 000542224700001 EID SCOPUS 85085741796 DOI 10.18637/jss.v093.i10 Anotace 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. Pracoviště Ústav informatiky Kontakt Tereza Šírová, sirova@cs.cas.cz, Tel.: 266 053 800 Rok sběru 2021 Elektronická adresa http://hdl.handle.net/11104/0309452
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