nacopula
swMATH ID: | 6778 |
Software Authors: | Hofert, Marius; Mächler, Martin; McNeil, Alexander J. |
Description: | nacopula: Nested Archimedean Copulas. An R package for working with nested Archimedean copulas. Specifically, providing procedures for computing function values and cube volumes, characteristics such as Kendall’s tau and tail dependence coefficients, efficient sampling algorithms, various estimators, and goodness-of-fit tests. The package also contains related univariate distributions and special functions such as the Sibuya distribution, the polylogarithm, Stirling and Eulerian numbers. |
Homepage: | http://cran.r-project.org/web/packages/nacopula/index.html |
Source Code: | https://github.com/cran/nacopula |
Dependencies: | R |
Keywords: | maximum-likelihood estimation; confidence intervals; multi-parameter families |
Related Software: | copula; copula; R; QRM; HAC; VineCopula; CDVine; fCopulae; mvtnorm; CopulaModel; SAS; Octave; Matlab; HACopula; OctSymPy; Gumbel; fMultivar; Julia; CRAN Task Views; ks |
Cited in: | 49 Documents |
Standard Articles
2 Publications describing the Software, including 1 Publication in zbMATH | Year |
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Likelihood inference for Archimedean copulas in high dimensions under known margins. Zbl 1244.62073 Hofert, Marius; Mächler, Martin; McNeil, Alexander J. |
2012
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Nested Archimedean Copulas Meet R: The nacopula Package Link Marius Hofert; Martin Maechler |
2011
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Cited by 97 Authors
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Cited in 29 Serials
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