FactorCopulaModel: Factor Copula Models

Inference methods for factor copula models for continuous data in Krupskii and Joe (2013) <doi:10.1016/j.jmva.2013.05.001>, Krupskii and Joe (2015) <doi:10.1016/j.jmva.2014.11.002>, Fan and Joe (2024) <doi:10.1016/j.jmva.2023.105263>, one factor truncated vine models in Joe (2018) <doi:10.1002/cjs.11481>, and Gaussian oblique factor models. Functions for computing tail-weighted dependence measures in Lee, Joe and Krupskii (2018) <doi:10.1080/10485252.2017.1407414> and estimating tail dependence parameter.

Version:	0.1.0
Depends:	R (≥ 3.5.0)
Imports:	cubature, igraph, VineCopula
Published:	2025-10-29
DOI:	10.32614/CRAN.package.FactorCopulaModel (may not be active yet)
Author:	Harry Joe [aut], Pavel Krupskii [aut, cre], Xinyao Fan [aut], Allan Macleod [cph], Robert Gentleman [cph], Ross Ihaka [cph]
Maintainer:	Pavel Krupskii <pavel.krupskiy at unimelb.edu.au>
License:	GPL-3
NeedsCompilation:	yes
CRAN checks:	FactorCopulaModel results [issues need fixing before 2025-11-13]

Documentation:

Reference manual:

FactorCopulaModel.html , FactorCopulaModel.pdf

Downloads:

Package source:	FactorCopulaModel_0.1.0.tar.gz
Windows binaries:	r-devel: not available, r-release: not available, r-oldrel: not available
macOS binaries:	r-release (arm64): FactorCopulaModel_0.1.0.tgz, r-oldrel (arm64): FactorCopulaModel_0.1.0.tgz, r-release (x86_64): FactorCopulaModel_0.1.0.tgz, r-oldrel (x86_64): FactorCopulaModel_0.1.0.tgz

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