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.

Version: 0.9.2
Suggests: mvtnorm
Published: 2013-07-31
Author: Tomas Bacigal
Maintainer: Tomas Bacigal <bacigal at math.sk>
License: GPL-2
NeedsCompilation: no
Citation: acopula citation info
Materials: NEWS
CRAN checks: acopula results

Downloads:

Reference manual: acopula.pdf
Package source: acopula_0.9.2.tar.gz
Windows binaries: r-devel: acopula_0.9.2.zip, r-release: acopula_0.9.2.zip, r-oldrel: acopula_0.9.2.zip
OS X Snow Leopard binaries: r-release: acopula_0.9.2.tgz, r-oldrel: acopula_0.9.2.tgz
OS X Mavericks binaries: r-release: acopula_0.9.2.tgz
Old sources: acopula archive