igcop

MaRDI QIDQ120248CRANFDO

Authors Vincenzo Coia, Harry Joe

Last update 14 November 2023

Copyright license MIT license, File License

Software version identifier 1.0.1, 1.0.2

Description

Compute distributional quantities for an Integrated Gamma (IG) or Integrated Gamma Limit (IGL) copula, such as a cdf and density. Compute corresponding conditional quantities such as the cdf and quantiles. Generate data from an IG or IGL copula. See the vignette for formulas, or for a derivation, see Coia, V (2017) "Forecasting of Nonlinear Extreme Quantiles Using Copula Models." PhD Dissertation, The University of British Columbia.

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