Package: igcop 1.0.2

igcop: Computational Tools for the IG and IGL Copula Families

Compute distributional quantities for an Integrated Gamma (IG) or Integrated Gamma Limit (IGL) copula, such as a cdf and density. Compute corresponding conditional quantities such as the cdf and quantiles. Generate data from an IG or IGL copula. See the vignette for formulas, or for a derivation, see Coia, V (2017) "Forecasting of Nonlinear Extreme Quantiles Using Copula Models." PhD Dissertation, The University of British Columbia.

Authors:Vincenzo Coia [aut, cre], Harry Joe [aut]

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igcop.pdf |igcop.html
igcop/json (API)
NEWS

# Install 'igcop' in R:
install.packages('igcop', repos = c('https://vincenzocoia.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/vincenzocoia/igcop/issues

Uses libs:
  • c++– GNU Standard C++ Library v3

On CRAN:

4.00 score 6 scripts 226 downloads 20 exports 6 dependencies

Last updated 2 months agofrom:0cac910fd1. Checks:OK: 9. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 01 2024
R-4.5-win-x86_64OKNov 01 2024
R-4.5-linux-x86_64OKNov 01 2024
R-4.4-win-x86_64OKNov 01 2024
R-4.4-mac-x86_64OKNov 01 2024
R-4.4-mac-aarch64OKNov 01 2024
R-4.3-win-x86_64OKNov 01 2024
R-4.3-mac-x86_64OKNov 01 2024
R-4.3-mac-aarch64OKNov 01 2024

Exports:digdigllogdiglogdiglpcondigpcondig12pcondig21pcondiglpcondigl12pcondigl21pigpiglqcondigqcondig12qcondig21qcondiglqcondigl12qcondigl21rigrigl

Dependencies:cligluelifecycleRcpprlangvctrs

Formulas for the IG and IGL Copula Families

Rendered fromFormulas.Rmdusingknitr::rmarkdownon Nov 01 2024.

Last update: 2021-10-13
Started: 2021-09-30

Readme and manuals

Help Manual

Help pageTopics
Clean up DLL.onUnload
Test data.alpha .cpar .theta .u .v
Check validity of copula parameterscheck_alpha check_theta
Select IG copula quantities: matching inputsdig_vec pcondig12_vec qcondig12_vec
Send arguments to a function after vectorizingformals_to
igcop: Computational Tools for the IG and IGL Copula Familiesigcop-package igcop
IG/IGL Generators and Related Functions: matching inputsigl_gen_D_vec igl_gen_inv_vec igl_gen_vec igl_kappa_D_vec igl_kappa_inv_vec igl_kappa_vec interp_gen_inv_vec interp_gen_vec interp_kappa_inv_vec interp_kappa_vec
IG/IGL Generators and Related Functionsigl_gen igl_gen_D igl_gen_inv igl_kappa igl_kappa_D igl_kappa_inv interp_gen interp_gen_inv interp_kappa interp_kappa_inv
IG Copula Family Functionsdig logdig pcondig pcondig12 pcondig21 pig qcondig qcondig12 qcondig21 rig
IGL Copula Family Functionsdigl logdigl pcondigl pcondigl12 pcondigl21 pigl qcondigl qcondigl12 qcondigl21 rigl