igcop: Computational Tools for the IG and IGL Copula Families (original) (raw)

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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