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FDGcopulas (version 1.0)

Multivariate Dependence with FDG Copulas

Description

FDG copulas are a class of copulas featuring an interesting balance between flexibility and tractability. This package provides tools to construct, calculate the pairwise dependence coefficients of, simulate from, and fit FDG copulas. The acronym FDG stands for 'one-Factor with Durante Generators', as an FDG copula is a one-factor copula -- that is, the variables are independent given a latent factor -- whose linking copulas belong to the Durante class of bivariate copulas (also referred to as exchangeable Marshall-Olkin or semilinear copulas).

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Version

Install

install.packages('FDGcopulas')

Monthly Downloads

18

Version

1.0

License

GPL (>= 3)

Maintainer

Last Published

October 22nd, 2014

Functions in FDGcopulas (1.0)

ltdcFDG

Lower tail dependence coefficient of FDG copulas
rhoFDG

Spearman's rho of FDG copulas
tauFDG

Kendall's tau of FDG copulas
FDGcopula-class

Class "FDGcopula"
fitFDG-class

Class "fitFDG"
fitFDG

Estimation of FDG copulas
utdcFDG

Upper tail dependence coefficient of FDG copulas
FDGcopulas-package

Deals with FDG copulas