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Nested Archimedean Copulas Meet R: The nacopula Package | Hofert | Journal of Statistical Software
Authors: Marius Hofert, Martin Maechler
Title: Nested Archimedean Copulas Meet R: The nacopula Package
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.

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Paper: Nested Archimedean Copulas Meet R: The nacopula Package     Download PDF (Downloads: 8846)
Supplements:
nacopula_0.4-4.tar.gz: R source package Download (Downloads: 990; 3MB)
v39i09.R: R example code from the paper Download (Downloads: 1045; 8KB)
DOI: 10.18637/jss.v039.i09

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Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.