rdmatheus/BCNSM: Multivariate Box-Cox Symmetric Distributions Generated by a Normal Scale Mixture Copula

Tools for estimating and assessing goodness-of-fit in the class of the multivariate Box-Cox symmetric distributions generated by a normal scale mixture copula (referred to as the BCNSM distributions). The class constitutes a general and flexible framework for modeling multivariate positive continuous data. Each margin can follow a different Box-Cox symmetric distribution, providing flexibility to accommodate data with varying marginal distributions, including different types of skewness and tail-heaviness. Furthermore, the dependence within the BCNSM distributions is entirely described by a normal scale mixture copula, regardless of the marginal specifications. Thus, the class can accommodate any monotonous association between the variables.

install.packages("remotes")
remotes::install_github("rdmatheus/BCNSM")