nacopula: Nested Archimedean Copulas An R package for working with nested Archimedean copulas. Specifically, providing procedures for computing function values and cube volumes, characteristics such as Kendall’s tau and tail dependence coefficients, efficient sampling algorithms, various estimators, and goodness-of-fit tests. The package also contains related univariate distributions and special functions such as the Sibuya distribution, the polylogarithm, Stirling and Eulerian numbers.

References in zbMATH (referenced in 18 articles , 1 standard article )

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  1. Cambou, Mathieu; Hofert, Marius; Lemieux, Christiane: Quasi-random numbers for copula models (2017)
  2. C^oté, Marie-Pier; Genest, Christian; Abdallah, Anas: Rank-based methods for modeling dependence between loss triangles (2016)
  3. Kosmidis, Ioannis; Karlis, Dimitris: Model-based clustering using copulas with applications (2016)
  4. Zhang, Kong-Sheng; Lin, Jin-Guan; Xu, Pei-Rong: A new class of copulas involved geometric distribution: estimation and applications (2016)
  5. Lau, John W.; Cripps, Edward: Stick-breaking representation and computation for normalized generalized gamma processes (2015)
  6. Schepsmeier, Ulf: Efficient information based goodness-of-fit tests for vine copula models with fixed margins: a comprehensive review (2015)
  7. Schoonees, Pieter C.; van de Velden, Michel; Groenen, Patrick J.F.: Constrained dual scaling for detecting response styles in categorical data (2015)
  8. Bodnar, Taras; Dickhaus, Thorsten: False discovery rate control under Archimedean copula (2014)
  9. Kauermann, Göran; Meyer, Renate: Penalized marginal likelihood estimation of finite mixtures of Archimedean copulas (2014)
  10. Peters, Gareth W.; Dong, Alice X.D.; Kohn, Robert: A copula based Bayesian approach for paid-incurred claims models for non-life insurance reserving (2014)
  11. Brechmann, Eike C.; Hendrich, Katharina; Czado, Claudia: Conditional copula simulation for systemic risk stress testing (2013)
  12. Genest, Christian; Nešlehová, Johanna G.: Assessing and modeling asymmetry in bivariate continuous data (2013)
  13. Hofert, Marius; Pham, David: Densities of nested Archimedean copulas (2013)
  14. Nikoloulopoulos, Aristidis K.: Copula-based models for multivariate discrete response data (2013)
  15. Hofert, Marius; Mächler, Martin; McNeil, Alexander J.: Likelihood inference for Archimedean copulas in high dimensions under known margins (2012)
  16. Patton, Andrew J.: A review of copula models for economic time series (2012)
  17. Embrechts, Paul; Hofert, Marius: Comments on: Inference in multivariate Archimedean copula models (2011)
  18. Hofert, Marius: Modeling defaults with nested Archimedean copulas (2010)