Tomáš Bacigál

old 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 in freely available environment for statistical computing and visualization, R.

source code in R:

• library archimax_functions.R (17/05/2010)

• library utils.R (11/12/2009)

• demonstration archimax_evaluation.r (17/05/2010)

• data file data_hydrology.txt

CategoryHomepage