HAC (0.1-0)

Estimation, simulation and visualization of Hierarchical Archimedean Copulae (HAC).

http://lehre.wiwi.hu-berlin.de/Professuren/quantitativ/statistik/members/personalpages/o2
http://cran.r-project.org/web/packages/HAC

The estimation of the structure, simulation methods and structural plots of Hierarchical Archimedean Copulae (HAC) are the major applications which are covered by this package. In combination with this package the class "hac" is implemented. Estimation methods for empirical copulae are also included. There is, however, still room for improvement: 1. Probability density functions are only available up to the third dimension. 2. Although the copula models which are estimated or constructed provide a wide range of models, some complex models have to be approximated.

Maintainer: Ostap Okhrin
Author(s): Ostap Okhrin <ostap.okhrin@wiwi.hu-berlin.de> and Alexander Ristig <ristigal@cms.hu-berlin.de>

License: GPL (>= 3)

Uses: copula, fBasics

Released over 6 years ago.