Hierarchical Archimedean Copulas for MATLAB and Octave: The HACopula Toolbox
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DOI: 10.18637/jss.v093.i10
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… read more here.
Keywords: hacopula; hierarchical archimedean; matlab; copulas matlab ... See more keywords