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NCSCopula (version 1.0.1)

Non-Central Squared Copula Models Estimation

Description

Inference and dependence measure for the non-central squared Gaussian, Student, Clayton, Gumbel, and Frank copula models.The description of the methodology is taken from Section 3 of Nasri, Remillard and Bouezmarni (2019) .

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Install

install.packages('NCSCopula')

Monthly Downloads

184

Version

1.0.1

License

GPL (>= 2)

Maintainer

Bouchra Nasri

Last Published

November 28th, 2019

Functions in NCSCopula (1.0.1)

initialValues

Initial values for estimation
copulaEmp

Empirical copula
SimNCSCop

Simulation of a bivariate non-central squared copula
EstNCSCop

Estimation of a non-central squared copula model
NCSCopCdf

Distribution function of a non-central squared copula
KendallTau

Kendall's tau of a copula
LoglikNCSCop

Log-likelihood of a non-central squared copula
ParamCop

Gives the parameters of the copula family
ParamTau

Unconstrained parameters