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Hierarchical Archimedean Copulas for Matlab and Octave: The HACopula Toolbox

SYSNO ASEP	0525271
Document Type	J - Journal Article
R&D Document Type	Journal Article
Subsidiary J	Článek ve WOS
Title	Hierarchical Archimedean Copulas for Matlab and Octave: The HACopula Toolbox
Author(s)	Górecki, J. (CZ) Hofert, M. (CA) Holeňa, Martin (UIVT-O)_{SAI, RID}
Source Title	Journal of Statistical Software. - : Foundation for Open Access Statistics - ISSN 1548-7660 Roč. 93, č. 10 (2020), s. 1-36
Number of pages	36 s.
Publication form	Print - P
Language	eng - English
Country	US - United States
Keywords	copula ; hierarchical Archimedean copula ; structure ; family ; estimation ; collapsing ; sampling ; goodness-of-fit ; Kendall’s tau ; tail dependence ; MATLAB ; Octave
Subject RIV	IN - Informatics, Computer Science
OECD category	Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)
R&D Projects	GA17-01251S GA ČR - Czech Science Foundation (CSF)
Method of publishing	Open access
Institutional support	UIVT-O - RVO:67985807
UT WOS	000542224700001
EID SCOPUS	85085741796
DOI	10.18637/jss.v093.i10
Annotation	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.
Workplace	Institute of Computer Science
Contact	Tereza Šírová, sirova@cs.cas.cz, Tel.: 266 053 800
Year of Publishing	2021
Electronic address	http://hdl.handle.net/11104/0309452

Number of the records: 1