gorecki/HACopula

Version 1.1.0.0 (3.17 MB) by Jan Gorecki
Version R2018_08_24
5.0
(2)
185 Downloads
Updated 11 Sep 2018
View License on GitHub

*** 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 .

MATLAB Release Compatibility
Created with R2017a
Compatible with R2013a to R2018a
Platform Compatibility
Windows macOS Linux

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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
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
1.0.0.0

To view or report issues in this GitHub add-on, visit the GitHub Repository.
To view or report issues in this GitHub add-on, visit the GitHub Repository.