acopula: Modelling dependence with multivariate Archimax (or any user-defined continuous) copulas.

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Archimax copulas are mixture of Archimedean and EV copulas. The package provides definitions of several parametric families of generator and dependence function, computes CDF and PDF, estimates parameters, tests for goodness of fit, generates random sample and checks copula properties for custom constructs. In 2-dimensional case explicit formulas for density are used, in the contrary to higher dimensions when all derivatives are linearly approximated. Several non-archimax families (normal, FGM, Plackett) are provided as well.

Author
Tomas Bacigal
Date of publication
2013-07-31 15:23:55
Maintainer
Tomas Bacigal <bacigal@math.sk>
License
GPL-2
Version
0.9.2

View on CRAN

Man pages

acopula-package
Modelling dependence with multivariate Archimax (or any...
copula
Generic copulae definitions
depfun
Dependence function of Extreme-Value copula
generator
Generator of Archimedean copula
nderive
Numerical derivative
nintegrate
Numerical integration
vpartition
Vector partitioning
xCopula
Archimax and generic copula distribution functions
xPareto
4-parametric univariate Pareto distribution

Files in this package

acopula
acopula/inst
acopula/inst/CITATION
acopula/inst/doc
acopula/inst/doc/acopula-userguide_0.9.2.pdf
acopula/inst/doc/acopula_overview.pdf
acopula/NAMESPACE
acopula/acopula-Ex.R
acopula/NEWS
acopula/R
acopula/R/acopula.r
acopula/MD5
acopula/DESCRIPTION
acopula/man
acopula/man/nintegrate.Rd
acopula/man/copula.Rd
acopula/man/vpartition.Rd
acopula/man/depfun.Rd
acopula/man/xPareto.Rd
acopula/man/acopula-package.Rd
acopula/man/nderive.Rd
acopula/man/generator.Rd
acopula/man/xCopula.Rd