PBC: Product of Bivariate Copulas (PBC)

This package provides tools for modeling copulas with the PBC model, a class of multivariate copulas based on products of bivariate copulas (G. Mazo G, S. Girard and F. Forbes, 2013). The likelihood is computed thanks to a message-passing algorithm on graphs (J. C. Huang and N. Jojic, 2010).

Version: 1.1
Depends: R (≥ 3.0.0), igraph
Imports: Rcpp (≥ 0.10.3), copula, methods
LinkingTo: Rcpp
Published: 2014-02-21
Author: Van Trung Pham and Gildas Mazo, with contributions from R Core team, Nash, Zhu, Byrd, Lu-Chen and Nocedal
Maintainer: Van Trung Pham <trungpv88 at gmail.com>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
CRAN checks: PBC results

Downloads:

Reference manual: PBC.pdf
Vignettes: PBC PBC
Package source: PBC_1.1.tar.gz
OS X binary: PBC_1.1.tgz
Windows binary: PBC_1.1.zip
Old sources: PBC archive