FDGcopulas (version 1.0)

FDGcopulas-package: Deals with FDG copulas

Description

Constructs, simulates from, calculates dependence coefficients, and fits FDG copulas.

Details

Package:

FDGcopulas

Type:

Package

Version:

1.0

Date:

2014-09-19

License:

GPL >=3

See the examples below to have an overview of how what the package can offer.

References

Mazo G., Girard, S., Forbes, F. A flexible and tractable class of one-factor copulas, http://hal.archives-ouvertes.fr/hal-00979147

Examples

## creates an object of class 'FDGcopula' 
myFDGcopula <- FDGcopula("frechet", c(.3,.5,.7,.9))

## compute the pairwise dependence coefficients 
## Spearman's rho:
rhoFDG(myFDGcopula)
## Kendall's tau:
tauFDG(myFDGcopula)
## Upper tail dependence coefficient:
utdcFDG(myFDGcopula)
## Lower tail dependence coefficient:
ltdcFDG(myFDGcopula)

## simulates data ##
dat <- rFDG(30, myFDGcopula)

## fit data ##
myFittedCopula <- fitFDG(myFDGcopula, dat)