FDGcopulas: Multivariate Dependence with FDG Copulas
FDG copulas are a class of copulas featuring an interesting balance between flexibility and tractability. This package provides tools to construct, calculate the pairwise dependence coefficients of, simulate from, and fit FDG copulas. The acronym FDG stands for 'one-Factor with Durante Generators', as an FDG copula is a one-factor copula -- that is, the variables are independent given a latent factor -- whose linking copulas belong to the Durante class of bivariate copulas (also referred to as exchangeable Marshall-Olkin or semilinear copulas).
- Gildas Mazo, Stephane Girard
- Date of publication
- 2014-10-22 09:33:34
- Gildas Mazo <firstname.lastname@example.org>
- GPL (>= 3)
- Sample pairwise dependence coefficients
- Construction of FDG copula class object
- Class '"FDGcopula"'
- Deals with FDG copulas
- Estimation of FDG copulas
- Class '"fitFDG"'
- Lower tail dependence coefficient of FDG copulas
- Simulation of FDG copula models
- Spearman's rho of FDG copulas
- Kendall's tau of FDG copulas
- Upper tail dependence coefficient of FDG copulas
Files in this package