Modelling Dependence with Multivariate Archimax (or any User-Defined Continuous) Copulas

Archimax copulas are mixture of Archimedean and EV copulas. The package provides definitions of several parametric families of generator and dependence function, computes CDF and PDF, estimates parameters, tests for goodness of fit, generates random sample and checks copula properties for custom constructs. In 2-dimensional case explicit formulas for density are used, in the contrary to higher dimensions when all derivatives are linearly approximated. Several non-archimax families (normal, FGM, Plackett) are provided as well.


News

acopula 0.9.3

  • corrected some CRAN check issues

acopula 0.9.2

  • added support for estimation of one-parameter copula families via inversion of rank-based measures of dependence (Kendall's tau and Spearman's rho)

  • updated user guide

  • added slides with the quick introduction

acopula 0.9.1

  • fix examples in 'xCopula' to be run under Windows OS

  • added user guide in the form of scientific paper

acopula 0.9

  • first version

Reference manual

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install.packages("acopula")

0.9.3 by Tomas Bacigal, 6 months ago


Browse source code at https://github.com/cran/acopula


Authors: Tomas Bacigal


Documentation:   PDF Manual  


GPL-2 license


Suggests mvtnorm


See at CRAN