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FactorCopulaModel  

Factor Copula Models
View on CRAN: Click here


Download and install FactorCopulaModel package within the R console
Install from CRAN:
install.packages("FactorCopulaModel")

Install from Github:
library("remotes")
install_github("cran/FactorCopulaModel")

Install by package version:
library("remotes")
install_version("FactorCopulaModel", "0.1.1")



Attach the package and use:
library("FactorCopulaModel")
Maintained by
Pavel Krupskii
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2025-11-06
Latest Update: 2025-11-06
Description:
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.
How to cite:
Pavel Krupskii (2025). FactorCopulaModel: Factor Copula Models. R package version 0.1.1, https://cran.r-project.org/web/packages/FactorCopulaModel. Accessed 08 Oct. 2026.
Previous versions and publish date:
0.1.0 (2025-10-29 21:00), (2026-07-09 08:04)
Other packages that cited FactorCopulaModel R package
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Complete documentation for FactorCopulaModel
Functions, R codes and Examples using the FactorCopulaModel R package
Full FactorCopulaModel package functions and examples
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