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igcop: Computational Tools for the IG and IGL Copula Families
Compute distributional quantities for an Integrated Gamma (IG) or Integrated Gamma Limit (IGL) copula, such as a cdf and density. Compute corresponding conditional quantities such as the cdf and quantiles. Generate data from an IG or IGL copula. See the vignette for formulas, or for a derivation, see Coia, V (2017) "Forecasting of Nonlinear Extreme Quantiles Using Copula Models." PhD Dissertation, The University of British Columbia.
Getting started
Browse package contents
Package details |
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| Author | Vincenzo Coia [aut, cre], Harry Joe [aut] |
| Maintainer | Vincenzo Coia <vincenzo.coia@gmail.com> |
| License | MIT + file LICENSE |
| Version | 1.0.2 |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
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