Hierarchical Archimedean Copulas for Matlab and Octave: The HACopula Toolbox

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985807%3A_____%2F20%3A00525271" target="_blank" >RIV/67985807:_____/20:00525271 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/47813059:19520/20:A0000145

Výsledek na webu

<a href="http://hdl.handle.net/11104/0309452" target="_blank" >http://hdl.handle.net/11104/0309452</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.18637/jss.v093.i10" target="_blank" >10.18637/jss.v093.i10</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Hierarchical Archimedean Copulas for Matlab and Octave: The HACopula Toolbox

Popis výsledku v původním jazyce

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 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 matrices of Kendall's tau and tail dependence coefficients. These are first presented in a quick-and-simple manner and then elaborated in more detail to show the full capability of HACopula. As an example, sampling, estimation and goodness-of-fit of a 100-dimensional hierarchical Archimedean copula is presented, including a speed up of its computationally most demanding part. The toolbox is also compatible with Octave, where no support for copulas in more than two dimensions is currently provided.

Název v anglickém jazyce

Hierarchical Archimedean Copulas for Matlab and Octave: The HACopula Toolbox

Popis výsledku anglicky

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 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 matrices of Kendall's tau and tail dependence coefficients. These are first presented in a quick-and-simple manner and then elaborated in more detail to show the full capability of HACopula. As an example, sampling, estimation and goodness-of-fit of a 100-dimensional hierarchical Archimedean copula is presented, including a speed up of its computationally most demanding part. The toolbox is also compatible with Octave, where no support for copulas in more than two dimensions is currently provided.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10201 - Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)

Projekt

<a href="/cs/project/GA17-01251S" target="_blank" >GA17-01251S: Metaučení pro extrakci pravidel s numerickými konsekventy</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2020

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Journal of Statistical Software

ISSN

1548-7660

e-ISSN

—

Svazek periodika

93

Číslo periodika v rámci svazku

10

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

36

Strana od-do

1-36

Kód UT WoS článku

000542224700001

EID výsledku v databázi Scopus

2-s2.0-85085741796