A library for working with copula probability objects in MATLAB. This library extends and encapsulates existing copula support in MATLAB, by adding support for:
- d-dimensional Archimedean copulas
- Hierarchical Archimedean copulas
- Probabilistic copula classifier
To use the copula-matlab package, one needs to have Statistics Toolbox and Symbolic Toolbox installed.
For examples on how to use the functions within the package please take a look example.m.
The following packages can be found within the project:
- archim - implementation of functions working with d-dimensional Archimedean copulas. Supports Clayton, Gumbel and Frank families.
- hac - implementaions of functions for working with HACs. Supports Clayton, Gumbel and Frank families
- copula - contains integration of existing and newly implemented functions under a single interface