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SimCop: Simulate from Arbitrary Copulae
Provides a framework to generating random variates from arbitrary multivariate copulae, while concentrating on (bivariate) extreme value copulae. Particularly useful if the multivariate copulae are not available in closed form. Detailed discussion of the methodologies used can be found in Tajvidi and Turlach (2018) <doi:10.1111/anzs.12209>.
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Package details |
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| Author | Berwin A. Turlach [aut, cre] (<https://orcid.org/0000-0001-8795-471X>), Nader Tajvidi [ctb] (<https://orcid.org/0000-0002-7193-5730>) |
| Maintainer | Berwin A. Turlach <Berwin.Turlach@gmail.com> |
| License | GPL (>= 2) |
| Version | 0.7.3 |
| Package repository | View on CRAN |
| Installation |
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