Nested Archimedean Copulas Meet R: The nacopula Package
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Date
2011-03-09
Publication Type
Journal Article
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yes
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Abstract
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.
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published
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Journal / series
Volume
39 (9)
Pages / Article No.
1 - 20
Publisher
American Statistical Association
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Edition / version
Methods
Software
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Date collected
Date created
Subject
Archimedean copulas; Nested Archimedean copulas; Sampling algorithms; Kendall's tau; Tail-dependence coefficients; Exponentially tilted stable distribution; R
Organisational unit
03502 - Bühlmann, Peter L. / Bühlmann, Peter L.
03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)