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igcop - MaRDI portal

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igcop

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Software:120248



CRANigcopMaRDI QIDQ120248

Computational Tools for the IG and IGL Copula Families

Author name not available (Why is that?)

Last update: 14 November 2023

Copyright license: No records found.

Software version identifier: 1.0.1, 1.0.2

Description

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.





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