SimCop (Q35920)
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Simulate from Arbitrary Copulae
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | SimCop |
Simulate from Arbitrary Copulae |
Statements
expanded from: GPL (≥ 2) (English)
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22 February 2026
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Provides a framework to generating random variates from arbitrary multivariate copulae, while concentrating on (bivariate) extreme value copulae. Particularly useful if the multivariate copulae are not available in closed form. Detailed discussion of the methodologies used can be found in Tajvidi and Turlach (2018) <doi:10.1111/anzs.12209>.
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