FDGcopulas: Multivariate Dependence with FDG Copulas

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Description.

FDG copulas are a class of copulas featuring an interesting balance between flexibility and tractability. This package provides tools to construct, calculate the pairwise dependence coefficients of, simulate from, and fit FDG copulas. The acronym FDG stands for 'one-Factor with Durante Generators', as an FDG copula is a one-factor copula - that is, the variables are independent given a latent factor - whose linking copulas belong to the Durante class of bivariate copulas (also referred to as exchangeable Marshall-Olkin or semilinear copulas).

Participants.

- Florence Forbes (Inria Grenoble Rhône-Alpes).

- Stéphane Girard (Inria Grenoble Rhône-Alpes).

- Gildas Mazo (Inria Grenoble Rhône-Alpes).

Publication.

G. Mazo, S. Girard & F. Forbes. "A nonparametric class of one-factor copulas to balance flexibility and tractability", technical report, 2014, pdf.

Download.

Documentation and R package: [cran].

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