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).

Author
Gildas Mazo, Stephane Girard
Date of publication
2014-10-22 09:33:34
Maintainer
Gildas Mazo <gildas.mazo@free.fr>
License
GPL (>= 3)
Version
1.0

View on CRAN

Man pages

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

Files in this package

FDGcopulas
FDGcopulas/src
FDGcopulas/src/Makevars
FDGcopulas/src/randGenEV.cpp
FDGcopulas/src/estimCov_ev_CPP.cpp
FDGcopulas/src/Makevars.win
FDGcopulas/src/RcppExports.cpp
FDGcopulas/NAMESPACE
FDGcopulas/R
FDGcopulas/R/dispatch.R
FDGcopulas/R/pairwiseDepCoef.R
FDGcopulas/R/generation.R
FDGcopulas/R/fitFDG-class.R
FDGcopulas/R/FDGcopula-class.R
FDGcopulas/R/fit.R
FDGcopulas/R/RcppExports.R
FDGcopulas/MD5
FDGcopulas/DESCRIPTION
FDGcopulas/man
FDGcopulas/man/corFDG.Rd
FDGcopulas/man/FDGcopula-class.Rd
FDGcopulas/man/fitFDG-class.Rd
FDGcopulas/man/fitFDG.Rd
FDGcopulas/man/tauFDG.Rd
FDGcopulas/man/rFDG.Rd
FDGcopulas/man/FDGcopulas-package.Rd
FDGcopulas/man/rhoFDG.Rd
FDGcopulas/man/utdcFDG.Rd
FDGcopulas/man/ltdcFDG.Rd
FDGcopulas/man/FDGcopula.Rd