HAC (R 2.15.0)

Package provides the estimation of the structure and the parameters, simulation methods and structural plots of high-dimensional Hierarchical Archimedean Copulae (HAC).

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Ostap Okhrin, Alexander Ristig

R project

HAC, copula, nested Archimedean copula,

Mon, April 23 2012 by Alexander Ristig

Applications of Hierarchical Archimedean Copula (HAC)


Description: 10-dimensional HAC

library(HAC)
G = hac ( tree = list ( list ( "Y1", "Y2",
list ("Z3", "Z4", 3), 2.5) ,
list ("Z1", "Z2", 2),
list ("X1", "X2", 2.4) ,
"X3", "X4", 1.5))
plot(G)