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.
|Author||Marius Hofert <[email protected]> and Martin Maechler|
|Date of publication||2012-02-22 18:03:35|
|Maintainer||Martin Maechler <[email protected]>|
|License||GPL (>= 2)|
|Package repository||View on R-Forge|
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