GÓRECKI, Jan, Marius HOFERT and Martin HOLEŇA. Hierarchical Archimedean Copulas for MATLAB and Octave: The HACopula Toolbox. Journal of Statistical Software. 2020, vol. 93, No 10, p. 1-36. ISSN 1548-7660. doi:10.18637/jss.v093.i10.
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Basic information
Original name Hierarchical Archimedean Copulas for MATLAB and Octave: The HACopula Toolbox
Authors GÓRECKI, Jan (203 Czech Republic, guarantor, belonging to the institution), Marius HOFERT (124 Canada) and Martin HOLEŇA (203 Czech Republic).
Edition Journal of Statistical Software, 2020, 1548-7660.
Other information
Original language English
Type of outcome Article in a journal
Field of Study 10201 Computer sciences, information science, bioinformatics
Country of publisher United States of America
Confidentiality degree is not subject to a state or trade secret
WWW URL
RIV identification code RIV/47813059:19520/20:A0000145
Organization unit School of Business Administration in Karvina
Doi http://dx.doi.org/10.18637/jss.v093.i10
UT WoS 000542224700001
Keywords in English copula; hierarchical Archimedean copula; structure; family; estimation; collapsing; sampling; goodness-of-fit; Kendall’s tau; tail dependence; MATLAB; Octave
Changed by Changed by: Ing. Jan Górecki, Ph.D., učo 49432. Changed: 7/5/2021 11:47.
Abstract
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.
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