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).
|Author||Gildas Mazo, Stephane Girard|
|Date of publication||2014-10-22 09:33:34|
|Maintainer||Gildas Mazo <firstname.lastname@example.org>|
|License||GPL (>= 3)|
corFDG: Sample pairwise dependence coefficients
FDGcopula: Construction of FDG copula class object
FDGcopula-class: Class '"FDGcopula"'
FDGcopulas-package: Deals with FDG copulas
fitFDG: Estimation of FDG copulas
fitFDG-class: Class '"fitFDG"'
ltdcFDG: Lower tail dependence coefficient of FDG copulas
rFDG: Simulation of FDG copula models
rhoFDG: Spearman's rho of FDG copulas
tauFDG: Kendall's tau of FDG copulas
utdcFDG: Upper tail dependence coefficient of FDG copulas