Nested Archimedean Copulas Meet R: The nacopula Package
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.
When requesting a correction, please mention this item's handle: RePEc:jss:jstsof:39:i09. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum)
If references are entirely missing, you can add them using this form.