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acopula: 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, contrary to higher dimensions when all derivatives are linearly approximated. Several non-archimax families (normal, FGM, Plackett) are provided as well.

Version: 0.9.4
Suggests: mvtnorm
Published: 2023-09-10
DOI: 10.32614/CRAN.package.acopula
Author: Tomas Bacigal
Maintainer: Tomas Bacigal <bacigal at math.sk>
License: GPL-2
NeedsCompilation: no
Citation: acopula citation info
Materials: NEWS
CRAN checks: acopula results

Documentation:

Reference manual: acopula.pdf

Downloads:

Package source: acopula_0.9.4.tar.gz
Windows binaries: r-devel: acopula_0.9.4.zip, r-release: acopula_0.9.4.zip, r-oldrel: acopula_0.9.4.zip
macOS binaries: r-release (arm64): acopula_0.9.4.tgz, r-oldrel (arm64): acopula_0.9.4.tgz, r-release (x86_64): acopula_0.9.4.tgz, r-oldrel (x86_64): acopula_0.9.4.tgz
Old sources: acopula archive

Linking:

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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.