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Article: Nested Archimedean copulas meet R: The nacopula package
Title | Nested Archimedean copulas meet R: The nacopula package |
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Authors | |
Keywords | Archimedean copulas Exponentially tilted stable distribution Kendall's tau Nested Archimedean copulas R Sampling algorithms Tail-dependence coefficients |
Issue Date | 2011 |
Citation | Journal of Statistical Software, 2011, v. 39, n. 9, p. 1-20 How to Cite? |
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. |
Persistent Identifier | http://hdl.handle.net/10722/325620 |
ISSN | 2023 Impact Factor: 5.4 2023 SCImago Journal Rankings: 2.709 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Hofert, Marius | - |
dc.contributor.author | Mächler, Martin | - |
dc.date.accessioned | 2023-02-27T07:34:49Z | - |
dc.date.available | 2023-02-27T07:34:49Z | - |
dc.date.issued | 2011 | - |
dc.identifier.citation | Journal of Statistical Software, 2011, v. 39, n. 9, p. 1-20 | - |
dc.identifier.issn | 1548-7660 | - |
dc.identifier.uri | http://hdl.handle.net/10722/325620 | - |
dc.description.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. | - |
dc.language | eng | - |
dc.relation.ispartof | Journal of Statistical Software | - |
dc.rights | This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License. | - |
dc.subject | Archimedean copulas | - |
dc.subject | Exponentially tilted stable distribution | - |
dc.subject | Kendall's tau | - |
dc.subject | Nested Archimedean copulas | - |
dc.subject | R | - |
dc.subject | Sampling algorithms | - |
dc.subject | Tail-dependence coefficients | - |
dc.title | Nested Archimedean copulas meet R: The nacopula package | - |
dc.type | Article | - |
dc.description.nature | published_or_final_version | - |
dc.identifier.doi | 10.18637/jss.v039.i09 | - |
dc.identifier.scopus | eid_2-s2.0-79952973690 | - |
dc.identifier.volume | 39 | - |
dc.identifier.issue | 9 | - |
dc.identifier.spage | 1 | - |
dc.identifier.epage | 20 | - |
dc.identifier.eissn | 1548-7660 | - |
dc.identifier.isi | WOS:000288205600001 | - |