Další formáty:
BibTeX
LaTeX
RIS
@article{42642, author = {Górecki, Jan and Hofert, Marius and Holeňa, Martin}, article_number = {10}, doi = {http://dx.doi.org/10.18637/jss.v093.i10}, keywords = {copula; hierarchical Archimedean copula; structure; family; estimation; collapsing; sampling; goodness-of-fit; Kendall’s tau; tail dependence; MATLAB; Octave}, language = {eng}, issn = {1548-7660}, journal = {Journal of Statistical Software}, title = {Hierarchical Archimedean Copulas for MATLAB and Octave: The HACopula Toolbox}, url = {https://www.jstatsoft.org/article/view/v093i10}, volume = {93}, year = {2020} }
TY - JOUR ID - 42642 AU - Górecki, Jan - Hofert, Marius - Holeňa, Martin PY - 2020 TI - Hierarchical Archimedean Copulas for MATLAB and Octave: The HACopula Toolbox JF - Journal of Statistical Software VL - 93 IS - 10 SP - 1-36 EP - 1-36 SN - 15487660 KW - copula KW - hierarchical Archimedean copula KW - structure KW - family KW - estimation KW - collapsing KW - sampling KW - goodness-of-fit KW - Kendall’s tau KW - tail dependence KW - MATLAB KW - Octave UR - https://www.jstatsoft.org/article/view/v093i10 L2 - https://www.jstatsoft.org/article/view/v093i10 N2 - 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. ER -
GÓRECKI, Jan, Marius HOFERT a Martin HOLEŇA. Hierarchical Archimedean Copulas for MATLAB and Octave: The HACopula Toolbox. \textit{Journal of Statistical Software}. 2020, roč.~93, č.~10, s.~1-36. ISSN~1548-7660. Dostupné z: https://dx.doi.org/10.18637/jss.v093.i10.
|