nacopula

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 30 articles , 2 standard articles )

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  1. Cossette, Hélène; Marceau, Etienne; Mtalai, Itre; Veilleux, Déry: Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications (2018)
  2. Sukparungsee, Saowanit; Kuvattana, Sasigarn; Busababodhin, Piyapatr; Areepong, Yupaporn: Bivariate copulas on the Hotelling’s $T^2$ control chart (2018)
  3. Tajvidi, N.; Turlach, B. A.: A general approach to generate random variates for multivariate copulae (2018)
  4. Cambou, Mathieu; Hofert, Marius; Lemieux, Christiane: Quasi-random numbers for copula models (2017)
  5. Härdle, Karl Wolfgang; Okhrin, Ostap; Okhrin, Yarema: Basic elements of computational statistics (2017)
  6. C^oté, Marie-Pier; Genest, Christian; Abdallah, Anas: Rank-based methods for modeling dependence between loss triangles (2016)
  7. Di Bernardino, Elena; Rullière, Didier: On an asymmetric extension of multivariate Archimedean copulas based on quadratic form (2016)
  8. Kosmidis, Ioannis; Karlis, Dimitris: Model-based clustering using copulas with applications (2016)
  9. Rivest, Louis-Paul; Verret, François; Baillargeon, Sophie: Unit level small area estimation with copulas (2016)
  10. Zhang, Kong-Sheng; Lin, Jin-Guan; Xu, Pei-Rong: A new class of copulas involved geometric distribution: estimation and applications (2016)
  11. Binois, Mickaël; Rullière, Didier; Roustant, Olivier: On the estimation of Pareto fronts from the point of view of copula theory (2015)
  12. Lau, John W.; Cripps, Edward: Stick-breaking representation and computation for normalized generalized gamma processes (2015)
  13. Schepsmeier, Ulf: Efficient information based goodness-of-fit tests for vine copula models with fixed margins: a comprehensive review (2015)
  14. Schoonees, Pieter C.; van de Velden, Michel; Groenen, Patrick J. F.: Constrained dual scaling for detecting response styles in categorical data (2015)
  15. Bodnar, Taras; Dickhaus, Thorsten: False discovery rate control under Archimedean copula (2014)
  16. Brechmann, Eike Christian: Hierarchical Kendall copulas: properties and inference (2014)
  17. Kauermann, Göran; Meyer, Renate: Penalized marginal likelihood estimation of finite mixtures of Archimedean copulas (2014)
  18. Ostap Okhrin; Alexander Ristig: Hierarchical Archimedean Copulae: The HAC Package (2014)
  19. 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)
  20. Brechmann, Eike C.; Hendrich, Katharina; Czado, Claudia: Conditional copula simulation for systemic risk stress testing (2013)

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