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2012-05-22Diskussionspapier DOI: 10.18452/4409
Hierarchical Archimedean Copulae
dc.contributor.authorOkhrin, Ostap
dc.contributor.authorRistig, Alexander
dc.date.accessioned2017-06-16T00:40:19Z
dc.date.available2017-06-16T00:40:19Z
dc.date.created2012-06-11
dc.date.issued2012-05-22
dc.date.submitted2012-05-22
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5061
dc.description.abstractThis paper aims at explanation of the R-package HAC, which provides user friendly methods for dealing with high-dimensional hierarchical Archimedean copulae (HAC). A computationally eficient estimation procedure allows to recover the structure and the parameters of HACs from data. In addition, arbitrary HACs can be constructed to sample random vectors and to compute the values of the corresponding cumulative distribution as well as density functions. Accurate graphics of the important characteristics of the package's object hac can be produced by the generic plot function.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectReng
dc.subjectcopulaeng
dc.subjecthierarchical Archimedean copulaeng
dc.subjectHACeng
dc.subject.ddc310 Sammlungen allgemeiner Statistiken
dc.subject.ddc330 Wirtschaft
dc.titleHierarchical Archimedean Copulae
dc.typeworkingPaper
dc.identifier.urnurn:nbn:de:kobv:11-100202447
dc.identifier.doihttp://dx.doi.org/10.18452/4409
local.edoc.pages23
local.edoc.type-nameDiskussionspapier
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2012
dc.title.subtitleThe HAC Package
dc.identifier.zdb2195055-6
bua.series.nameSonderforschungsbereich 649: Ökonomisches Risiko
bua.series.issuenumber2012,36

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