Nested Archimedean copulas meet R: The nacopula package

Journal of Statistical Software

Volumn 39, Issue 9, 2011, Pages 1-20

  Hofert, Marius ^a   Mächler, Martin ^a  

^a ETH ZURICH   (Switzerland)

Author keywords

Archimedean copulas; Exponentially tilted stable distribution; Kendall's tau; Nested Archimedean copulas; R; Sampling algorithms; Tail dependence coefficients

Indexed keywords

EID: 79952973690     PISSN: 15487660     EISSN: 15487660     Source Type: Journal    
DOI: 10.18637/jss.v039.i09     Document Type: Article

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