nacopula: Nested Archimedean Copulas

An R package for working with nested Archimedean copulas. Specifically, providing procedures for computing function values and cube volumes, characteristics such as Kendall's tau and tail dependence coefficients, efficient sampling algorithms, various estimators, and goodness-of-fit tests. The package also contains related univariate distributions and special functions such as the Sibuya distribution, the polylogarithm, Stirling and Eulerian numbers.

AuthorMarius Hofert <marius.hofert@math.ethz.ch> and Martin Maechler
Date of publication2012-02-22 18:03:35
MaintainerMartin Maechler <maechler@stat.math.ethz.ch>
LicenseGPL (>= 2)
Version0.8-1

View on R-Forge

Files in this package

nacopula/DESCRIPTION
nacopula/NAMESPACE
nacopula/R
nacopula/R/aaa.R

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

All documentation is copyright its authors; we didn't write any of that.