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.

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Description file content

Package
acopula
Type
Package
Title
Modelling Dependence with Multivariate Archimax (or any User-Defined Continuous) Copulas
Version
0.9.3
Date
2018-12-04
Author
Tomas Bacigal
Maintainer
Tomas Bacigal
Suggests
mvtnorm
Description
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.
License
GPL-2
Encoding
UTF-8
NeedsCompilation
no
Packaged
2018-12-04 14:09:52 UTC; tomas
Repository
CRAN
Date/Publication
2018-12-05 11:10:49 UTC

install.packages('acopula')

0.9.3

4 days ago

Tomas Bacigal

GPL-2

Suggests

mvtnorm

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