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Authors: Marius Hofert, Martin Maechler
Title: [download]
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Nested Archimedean Copulas Meet R: The nacopula Package
Reference: Vol. 39, Issue 9, Mar 2011
Submitted 2010-07-01, Accepted 2010-11-15
Type: Article
Abstract:

The package nacopula provides procedures for constructing nested Archimedean copulas in any dimensions and with any kind of nesting structure, generating vectors of random variates from the constructed objects, computing function values and probabilities of falling into hypercubes, as well as evaluation of characteristics such as Kendall's tau and the tail-dependence coefficients. As by-products, algorithms for various distributions, including exponentially tilted stable and Sibuya distributions, are implemented. Detailed examples are given.

Paper: [download]
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Nested Archimedean Copulas Meet R: The nacopula Package
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Supplements: [download]
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nacopula_0.4-4.tar.gz: R source package
(application/x-gzip, 3.4 MB)
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v39i09.R: R example code from the paper
(application/octet-stream, 8.5 KB)
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Creative Commons License
This work is licensed under the licenses
Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3)
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