Tomáš Bacigál
Department of Mathematics
Faculty of Civil Engineering
Slovak University of Technology
Radlinského 11, Bratislava
webpage: http://www.math.sk/bacigal
Research
Concept of Archimax copulas incorporates dependence function (known from EV copulas) into Archimedean class and thus allows for asymmetry. Here we propose some construction methods and implement fitting procedures (not only for Archimax copulas) in freely available environment for statistical computing and visualization, R.
documentation:
paper bacigal-UM2013.pdf (10/2013)
presentation bacigal-AGOP2013.pdf (07/2013)
source code in R:
package acopula_0.9.2.tar.gz (08/2013)
library acopula.r (08/2013)
The latest version of "acopula" package is available at http://cran.r-project.org/web/packages/acopula/