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| 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. | 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. |
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 (not only for Archimax copulas) in freely available environment for statistical computing and visualization, R.
source code in R:
library archimax_functions.R (25/07/2011)
library utils.R (25/07/2011)
library timeseries.R (25/07/2011)
fitting copulas archimax_evaluation.r (25/07/2011)
data file data_DanubeInn.txt
data file data_DanubeInn-iid.txt
data file data_SummerFlood.txt