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 41 articles , 2 standard articles )

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  1. Jan Górecki, Marius Hofert, Martin Holeňa: Hierarchical Archimedean Copulas for MATLAB and Octave: The HACopula Toolbox (2020) not zbMATH
  2. Lo, Simon M. S.; Mammen, Enno; Wilke, Ralf A.: A nested copula duration model for competing risks with multiple spells (2020)
  3. Arbenz, Philipp; Cambou, Mathieu; Hofert, Marius; Lemieux, Christiane; Taniguchi, Yoshihiro: Importance sampling and stratification for copula models (2018)
  4. Cooray, Kahadawala: Strictly Archimedean copulas with complete association for multivariate dependence based on the Clayton family (2018)
  5. Cossette, Hélène; Marceau, Etienne; Mtalai, Itre; Veilleux, Déry: Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications (2018)
  6. Gijbels, Irène; Herrmann, Klaus: Optimal expected-shortfall portfolio selection with copula-induced dependence (2018)
  7. Hofert, Marius; Huser, Raphaël; Prasad, Avinash: Hierarchical Archimax copulas (2018)
  8. Sukparungsee, Saowanit; Kuvattana, Sasigarn; Busababodhin, Piyapatr; Areepong, Yupaporn: Bivariate copulas on the Hotelling’s (T^2) control chart (2018)
  9. Tajvidi, N.; Turlach, B. A.: A general approach to generate random variates for multivariate copulae (2018)
  10. Uyttendaele, Nathan: On the estimation of nested Archimedean copulas: a theoretical and an experimental comparison (2018)
  11. Cambou, Mathieu; Hofert, Marius; Lemieux, Christiane: Quasi-random numbers for copula models (2017)
  12. Härdle, Karl Wolfgang; Okhrin, Ostap; Okhrin, Yarema: Basic elements of computational statistics (2017)
  13. Côté, Marie-Pier; Genest, Christian; Abdallah, Anas: Rank-based methods for modeling dependence between loss triangles (2016)
  14. Di Bernardino, Elena; Rullière, Didier: On an asymmetric extension of multivariate Archimedean copulas based on quadratic form (2016)
  15. Kosmidis, Ioannis; Karlis, Dimitris: Model-based clustering using copulas with applications (2016)
  16. Rivest, Louis-Paul; Verret, François; Baillargeon, Sophie: Unit level small area estimation with copulas (2016)
  17. Schwiebert, Jörg: Multinomial choice models based on Archimedean copulas (2016)
  18. Zhang, Kong-Sheng; Lin, Jin-Guan; Xu, Pei-Rong: A new class of copulas involved geometric distribution: estimation and applications (2016)
  19. Abdallah, Anas; Boucher, Jean-Philippe; Cossette, Hélène: Modeling dependence between loss triangles with hierarchical Archimedean copulas (2015)
  20. Binois, Mickaël; Rullière, Didier; Roustant, Olivier: On the estimation of Pareto fronts from the point of view of copula theory (2015)

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