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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
Likelihood inference for Archimedean copulas in high dimensions under known margins. Zbl 1244.62073
Hofert, Marius; Mächler, Martin; McNeil, Alexander J.
2012
Nested Archimedean Copulas Meet R: The nacopula Package Link
Marius Hofert; Martin Maechler
2011
all top 5

Cited by 97 Authors

7 Hofert, Marius
3 Rullière, Didier
2 Abdallah, Anas
2 Bodnar, Taras
2 Brechmann, Eike Christian
2 Cambou, Mathieu
2 Cossette, Hélène
2 Di Bernardino, Elena
2 Dickhaus, Thorsten
2 Genest, Christian
2 Hu, X. Joan
2 Huser, Raphaël
2 Lemieux, Christiane
2 Li, Dongdong
2 Okhrin, Ostap
2 Segers, Johan
2 Uyttendaele, Nathan
1 Alanazi, Fadhah Amer
1 Anand, Sonia
1 Anatolyev, Stanislav
1 Arbenz, Philipp
1 Areepong, Yupaporn
1 Baillargeon, Sophie
1 Basrak, Bojan
1 Beyene, Joseph
1 Binois, Mickaël
1 Boucher, Jean-Philippe
1 Brborović, Darko
1 Busababodhin, Piyapatr
1 Chaganty, Narasinga Rao
1 Cooray, Kahadawala
1 Côté, Marie-Pier
1 Cripps, Edward
1 Czado, Claudia
1 Deng, Yihao
1 Dong, Alice X. D.
1 Embrechts, Paul
1 Genton, Marc G.
1 Gijbels, Irène
1 Górecki, Jan
1 Groenen, Patrick J. F.
1 Hamid, Jemila Seid
1 Härdle, Karl Wolfgang
1 Hendrich, Katharina
1 Herrmann, Klaus
1 Hu, Taizhong
1 Islam, Shofiqul
1 Karlis, Dimitris
1 Kauermann, Goran
1 Kohn, Robert J.
1 Kosmidis, Ioannis
1 Kuvattana, Sasigarn
1 Lau, John Wei
1 Lin, Jinguan
1 Lin, Yanxia
1 Lo, Simon M. S.
1 Mächler, Martin Beat
1 Mammen, Enno
1 Marceau, Étienne
1 McBride, Mary L.
1 McNeil, Alexander J.
1 Meyer, Renate
1 Mtalai, Itre
1 Muralidhar, Krishnamurty
1 Nešlehová, Johanna G.
1 Nikoloulopoulos, Aristidis K.
1 Okhrin, Yarema
1 Patton, Andrew J.
1 Peters, Gareth William
1 Pettere, Gaida
1 Pham, David N.
1 Prasad, Avinash
1 Pyrlik, Vladimir
1 Rivest, Louis-Paul
1 Roustant, Olivier
1 Sarathy, Rathin
1 Schepsmeier, Ulf
1 Schoonees, Pieter C.
1 Schwiebert, Jörg
1 Spinelli, John J.
1 Stange, Jens
1 Sukparungsee, Saowanit
1 Tajvidi, Nader
1 Taniguchi, Yoshihiro
1 Thabane, Lehana
1 Turlach, Berwin A.
1 van de Velden, Michel
1 Veilleux, Déry
1 Verret, François
1 Vettori, Sabrina
1 Voronova, Irina
1 Wakefield, Bradley
1 Wilke, Ralf A.
1 Xu, Peirong
1 Yuan, Zhenfei
1 Zariņa-Cīrule, Ilze
1 Zhang, Kongsheng
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Cited in 29 Serials

5 Journal of Multivariate Analysis
4 Insurance Mathematics & Economics
3 Statistics and Computing
3 Dependence Modeling
2 The Canadian Journal of Statistics
2 Computational Statistics
2 Computational Statistics and Data Analysis
2 Statistical Methods and Applications
2 AStA. Advances in Statistical Analysis
1 Psychometrika
1 Information Sciences
1 Journal of the American Statistical Association
1 Journal of Economic Dynamics & Control
1 Communications in Statistics. Simulation and Computation
1 Test
1 Applied Mathematical Finance
1 Lifetime Data Analysis
1 Australian & New Zealand Journal of Statistics
1 ASTIN Bulletin
1 Journal of Statistical Theory and Practice
1 Electronic Journal of Statistics
1 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik)
1 Proceedings of the Estonian Academy of Sciences
1 Journal of Computational and Graphical Statistics
1 Journal of Probability and Statistics
1 Sankhyā. Series A
1 European Actuarial Journal
1 Communications in Mathematics and Statistics
1 Statistics and Computing (Cham)
all top 5

Cited in 8 Fields

48 Statistics (62-XX)
11 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
6 Probability theory and stochastic processes (60-XX)
6 Numerical analysis (65-XX)
1 Approximations and expansions (41-XX)
1 Integral transforms, operational calculus (44-XX)
1 Operations research, mathematical programming (90-XX)
1 Biology and other natural sciences (92-XX)

Citations by Year