Generalized Archimedean Copula

Bi-variate data fitting is done by two stochastic components: the marginal distributions and the dependency structure. The dependency structure is modeled through a copula. An algorithm was implemented considering seven families of copulas (Generalized Archimedean Copulas), the best fitting can be obtained looking all copula's options (totally positive of order 2 and stochastically increasing models).


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install.packages("fgac")

0.6-1 by Veronica Andrea Gonzalez-Lopez, 7 years ago


Browse source code at https://github.com/cran/fgac


Authors: Veronica Andrea Gonzalez-Lopez <[email protected]>


Documentation:   PDF Manual  


Task views: Probability Distributions, Empirical Finance, Multivariate Statistics


GPL license



See at CRAN