HAC

MaRDI QIDQ23146swMATHCRANFDO

Authors Ostap Okhrin, Alexander Ristig

Last update 1 December 2025

Copyright license GNU General Public License

Software version identifier 1.1-0, 0.1-0, 0.1-1, 0.1-2, 0.1-3, 0.1-4, 0.1-5, 0.1-7, 0.1-8, 0.1-9, 0.2-0, 0.2-1, 0.2-2, 0.2-3, 0.2-4, 0.2-5, 0.2-6, 0.2-7, 0.3-0, 0.3-1, 1.0-0, 1.0-1, 1.0-2, 1.0-3, 1.0-4, 1.0-5, 1.0-6, 1.0-7, 1.0-8, 1.1-1, PACKAGES.rds, 1.1-2

Official website http://cran.r-project.org/web/packages/HAC/index.html

Source code repository https://github.com/cran/HAC

Description

Package provides the estimation of the structure and the parameters, sampling methods and structural plots of Hierarchical Archimedean Copulae (HAC).

Cited in

(22)

• MixedIndTests
• Nonparametric estimation of the tree structure of a nested Archimedean copula
• On the estimation of nested Archimedean copulas: a theoretical and an experimental comparison
• nacopula
• copula
• Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models
• copula
• Fitting high-dimensional copulae to data
• Gumbel
• fCopulae
• CreditRisk+
• HACopula
• OctSymPy
• Basic elements of computational statistics
• RareMaxima
• Properties of hierarchical Archimedean copulas
• Vulnerability-CoVaR: investigating the crypto-market
• On structure, family and parameter estimation of hierarchical Archimedean copulas
• Copula directed acyclic graphs
• Quantifying the impact of different copulas in a generalized CreditRisk\(^+\) framework. An empirical study
• HellCor
• VecDep

This page was built for software: HAC