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

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.

AuthorTomas Bacigal
Date of publication2013-07-31 15:23:55
MaintainerTomas Bacigal <bacigal@math.sk>
LicenseGPL-2
Version0.9.2

View on CRAN

Functions

acopula Man page
acopula-package Man page
cCopula Man page
copFGM Man page
copGumbel Man page
copNormal Man page
copPlackett Man page
copProduct Man page
copula Man page
dCopula Man page
dep1 Man page
depCC Man page
depfun Man page
depGalambos Man page
depGCC Man page
depGumbel Man page
depHuslerReiss Man page
depMax Man page
depTawn Man page
eCopula Man page
eCopulaArchimax Man page
eCopulaGeneric Man page
gCopula Man page
gCopulaEmpirical Man page
genAMH Man page
genClayton Man page
generator Man page
genFrank Man page
genGumbel Man page
genJoe Man page
genLog Man page
isCopula Man page
ldepPartition3D Man page
nderive Man page
nintegrate Man page
pCopula Man page
pCopulaEmpirical Man page
pPareto Man page
print.eCopulaArchimax Man page
print.eCopulaGeneric Man page
print.gCopula Man page
print.isCopula Man page
qCopula Man page
qPareto Man page
rCopula Man page
rCopulaArchimax2D Man page
vpartition Man page

Files

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

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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