PBC

PBC R package: This package provides tools for modeling copulas with the PBC model, a class of multivariate copulas based on products of bivariate copulas (G. Mazo G, S. Girard and F. Forbes). The likelihood is computed thanks to a message-passing algorithm on graphs (J. C. Huang and N. Jojic, 2010).

Keywords for this software

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References in zbMATH (referenced in 1 article )

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  1. Mazo, Gildas; Girard, St├ęphane; Forbes, Florence: A class of multivariate copulas based on products of bivariate copulas (2015)