*** Hierarchical Archimedean copulas for MATLAB and Octave: The HACopula Toolbox ***
The HACopula toolbox extends the copula modeling provided by MATLAB to modeling with hierarchical Archimedean copulas, which allows for non-elliptical distributions in arbitrary dimensions enabling for asymmetries in the tails. 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 Kendall's tau and tail dependence coefficients. The toolbox is also compatible with Octave, where no support for copulas in more than two dimensions is currently provided.
Cite As
Jan Gorecki (2024). gorecki/HACopula (https://github.com/gorecki/HACopula), GitHub. Retrieved .
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- AI, Data Science, and Statistics > Statistics and Machine Learning Toolbox > Probability Distributions >
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HACopula
HACopula/@HACopula
HACopula/Auxiliary
HACopula/Demos
HACopula/Sampling
Versions that use the GitHub default branch cannot be downloaded
Version | Published | Release Notes | |
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1.1.0.0 | fast Kendall's tau estimate computation, extended numerical stability when computing densities or conditional CDFs, new functionality to simplify access to bivariate margins of a HAC |
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1.0.0.0 |
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