CRAN

acopula 0.9.2

Modelling dependence with multivariate Archimax (or any user-defined continuous) copulas.

Released Jul 31, 2013 by Tomas Bacigal

This package can be loaded by Renjin but 3 out 8 tests failed.

Archimax copulas are mixture of Archimedean and EV copulas. The package provides definitions of several parametric families of generator and dependence function, computes CDF and PDF, estimates parameters, tests for goodness of fit, generates random sample and checks copula properties for custom constructs. In 2-dimensional case explicit formulas for density are used, in the contrary to higher dimensions when all derivatives are linearly approximated. Several non-archimax families (normal, FGM, Plackett) are provided as well.

Installation

Maven

This package can be included as a dependency from a Java or Scala project by including the following your project's pom.xml file. Read more about embedding Renjin in JVM-based projects.

<dependencies>
  <dependency>
    <groupId>org.renjin.cran</groupId>
    <artifactId>acopula</artifactId>
    <version>0.9.2-b235</version>
  </dependency>
</dependencies>
<repositories>
  <repository>
    <id>bedatadriven</id>
    <name>bedatadriven public repo</name>
    <url>https://nexus.bedatadriven.com/content/groups/public/</url>
  </repository>
</repositories>

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Renjin CLI

If you're using Renjin from the command line, you load this library by invoking:

library('org.renjin.cran:acopula')

Test Results

This package was last tested against Renjin 0.8.2523 on Nov 11, 2017.

Source

R

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Release History