acopula

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Modelling Dependence with Multivariate Archimax (or any User-Defined Continuous) Copulas

Tomas Bacigal

Last update: 10 September 2023

Copyright license: GNU General Public License, version 2.0

Software version identifier: 0.9.3, 0.9.1, 0.9.2, 0.9, 0.9.4

Source code repository: https://github.com/cran/acopula

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, contrary to higher dimensions when all derivatives are linearly approximated. Several non-archimax families (normal, FGM, Plackett) are provided as well.

Related Items (2)

Aggregation functions in theory and in practise. Proceedings of the 7th international summer school on aggregation operators (AGOP 2013) at the Public University of Navarra, Pamplona, Spain, July 16--20, 2013 ⋮ R Package to Handle Archimax or Any User-Defined Continuous Copula Construction: acopula

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