Software

In this chapter, we explore three software toolboxes that enable stochastic dependence modeling with HACs across different programming languages. Among these, the R package copula available at https://CRAN.R-project.org/package=copula stands out as a comprehensive package for copula modeling, which has been extensively discussed in Yan (2007) and Kojadinovic and Yan (2010). After it incorporated the nacopula package (Hofert & Mächler, 2011), which delivers functionalities for sampling from HACs, it supports dependence modeling also with HACs. Another R package for practitioners interested in HAC modeling is the HAC package available at https://CRAN.R-project.org/package=HAC, discussed in Okhrin and Ristig (2014, 2020). Both these packages are described below in Sect. 8.1. For those preferring MATLAB or Octave, the HACopula toolbox available at https://github.com/gorecki/HACopula (discussed in Górecki et al., 2020) could be an ideal choice. This toolbox is described in Sect. 8.2. While we do not intend to cover all the possible capabilities of these toolboxes, we will present the key concepts, enabling readers to take their first steps in HAC modeling with their preferred software and interpret the results effectively.