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 evalua...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Foundation for Open Access Statistics
2011-03-01
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| Series: | Journal of Statistical Software |
| Subjects: | |
| Online Access: | http://www.jstatsoft.org/v39/i09/paper |