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copula (version 0.999-3)

Multivariate Dependence with Copulas

Description

Classes (S4) of commonly used elliptical, Archimedean, extreme value and some more copula families. Methods for density, distribution, random number generation, bivariate dependence measures, perspective and contour plots. Fitting copula models including variance estimates. Independence and serial (univariate and multivariate) independence tests, and other copula related tests. Goodness-of-fit tests for copulas based on multipliers, the parametric bootstrap with several transformation options. Merged former package 'nacopula' for nested Archimedean copulas: Efficient sampling algorithms, various estimators, goodness-of-fit tests and related tools and special functions.

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Version

Install

install.packages('copula')

Monthly Downloads

10,185

Version

0.999-3

License

GPL (>= 3)

Maintainer

Martin Maechler

Last Published

October 27th, 2012

Functions in copula (0.999-3)

archmCopula-class

Class "archmCopula"

Various Estimators for (Nested) Archimedean Copulas

ellipCopula-class

Class "ellipCopula"

Goodness-of-fit Tests for Copulas

Specific Archimedean Copula Families ("acopula" Objects)

LOSS and ALAE Insurance Data

Conditional Copula Function

Large-sample Test of Multivariate Extreme-Value Dependence

Print Compact Overview of a Nested Archimedean Copula ("nacopula")

Test of Exchangeability for a Bivariate Copula

Bivariate Test of Extreme-Value Dependence Based on Pickands' Dependence Function

Test of Exchangeability for Certain Bivariate Copulas

Scatterplot Matrix (splom) with Nice Variable Names

Density, Evaluation, and Random Number Generation for Copula Functions

Daily Returns of Three Stocks in the Dow Jones

All Components of a (Inner or Outer) Nested Archimedean Copula

Bivariate Test of Extreme-Value Dependence Based on Kendall's Process

Sample Univariate Distributions Involved in Nested Frank and Joe Copulas

Mother Classes "Copula" and "copula" of All Copulas in the Package

Eulerian and Stirling Numbers of First and Second Kind

Test Independence of Continuous Random Variables via Empirical Copula

Density of the Diagonal of (Nested) Archimedean Copulas

Generator Functions for Archimedean and Extreme-Value Copulas

Density Evaluation for (Nested) Archimedean Copulas

Evaluation of (Nested) Archimedean Copulas

Multivariate Distributions Constructed from Copulas

fgmCopula-class

Class "fgmCopula"

Nonparametric Rank-based Estimators of the Pickands Dependence Function

Construction of Archimedean Copula Class Object

Sinc, Zolotarev's, and Other Mathematical Utility Functions

Outer Power Transformation of Archimedean Copulas

Sampling Logarithmic Distributions

Pairwise Thetas of Nested Archimedean Copulas

Class "interval" of Simple Intervals

Independence Test Among Continuous Random Vectors Based on the Empirical Copula Process

Estimation of Multivariate Models Defined via Copulas

Pseudo-Observations

Random nacopula Model

Maximum Likelihood Estimators for (Nested) Archimedean Copulas

Computes the Empirical Copula

serialIndepTest

Serial Independence Test for Continuous Time Series Based on the Empirical Copula Process

Computing Probabilities of Hypercubes

Estimation Procedures for (Nested) Archimedean Copulas

Sample and Population Version of Blomqvist's Beta for Archimedean Copulas

Construction of Elliptical Copula Class Object

Compute f(a) = $\mathrm{log}$(1 - $\mathrm{exp}$(-a)) Numerically Optimally

Goodness-of-fit Testing for (Nested) Archimedean Copulas

Minimum Distance Estimators for (Nested) Archimedean Copulas

Sampling Nested Archimedean Copulas

Get "acopula" Family Object by Name

Construction of Independence Copula Class Objects

Sampling Distribution F for Frank and Joe

multSerialIndepTest

Serial Independence Test for Multivariate Continuous Time Series Based on the Empirical Copula Process

Initial Interval or Value for Parameter Estimation of Archimedean Copulas

Goodness-of-fit Testing Transformations for (Nested) Archimedean Copulas

Classes Representing Extreme-Value Copulas

Sibuya Distribution - Sampling and Probabilities

Dependence Measures for Copulas

Kendall Distribution Function for Archimedean Copulas

Construction of a fgmCopula Class Object

Class "nacopula" of Nested Archimedean Copulas

Goodness-of-fit Tests for Bivariate Extreme-Value Copulas

copula-internal

Internal Copula Functions

Construction of Extreme-Value Copula Class Objects

Uranium Exploration Dataset of Cook & Johnson (1986)

Sampling Exponentially Tilted Stable Distributions

fitCopula-class

Classes of Fitted Multivariate Models: Copula, Mvdc

Polylogarithm $\mathrm{Li_s(z)}$

indepCopula-class

Class "indepCopula"

Estimation of the Parameters in Copula Models

Compute Bernoulli Numbers

Nesting Depth of a Nested Archimedean Copula ("nacopula")

Methods for `show' in Package `copula'

Construction of a Plackett Copula Class Object

One-dimensional Root (Zero) Finding - Extra "Safety" for Convenience

Random numbers from (Skew) Stable Distributions

Specify the Parameter(s) of a Copula

contour-methods

Methods for Function `contour' in Package `copula'

Evaluate Polynomials

Constructing (Outer) Nested Archimedean Copulas

Construct Simple "interval" Object

Methods for Function `persp' in Package `copula'

Class "acopula" of Archimedean Copula Families

Absolute Value of Generator Derivatives via Monte Carlo

Sampling Child 'nacopula's

Timing for Sampling Nested Archimedean Copulas

Ali-Mikhail-Haq ("AMH")'s and Joe's Kendall's Tau

Multivariate Dependence Modeling with Copulas