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SimCop (version 0.7.3)

Simulate from Arbitrary Copulae

Description

Provides a framework to generating random variates from arbitrary multivariate copulae, while concentrating on (bivariate) extreme value copulae. Particularly useful if the multivariate copulae are not available in closed form. Detailed discussion of the methodologies used can be found in Tajvidi and Turlach (2018) .

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Version

Install

install.packages('SimCop')

Monthly Downloads

294

Version

0.7.3

License

GPL (>= 2)

Maintainer

Berwin Turlach

Last Published

April 13th, 2025

Functions in SimCop (0.7.3)

NewMVFrankCopula

Creates a Frank copula
NewMEVAsyLogisticCopula

Creates a multivariate asymmetric logistic copula
SimCop

SimCop: A package to simulate random variates from an arbitrary multivariate copula
print.ADCube

Print method for cubes
plot.SimCop

Plot a bivariate copula or its density
NewCube

Cross-derivatives via automatic differentiation
NonparEstDepFct

Nonparametric estimator of bivariate dependence function
plot.CopApprox

Plot the histogram density approximation to a copula
NewMEVGumbelCopula

Creates a Gumpel copula
SplineFitDepFct

Fit a dependence function by spline smoothing
NewMVClaytonCopula

Creates a Clayton copula
print.SimCop

Print basic information on a copula
GenerateRV

GenerateRV generic
NewBEVMixedModelCopula

Creates a bivariate mixed model extreme value copula
NewBEVAsyLogisticCopula

Creates a bivariate asymmetric logistic model extreme value copula
NewBEVAsyMixedModelCopula

Creates a bivariate asymmetric mixed model extreme value copula
CrossSum

Calculations on cubes
NewBEVLogisticCopula

Creates a bivariate logistic model extreme value copula
MaxTemp

Extreme temperatures at two West Australian meteorological stations
NewBEVSplineCopula

Creates a flexible extreme value copula
GenerateRV.CopApprox

Generates random variates from a copula approximation
GetApprox

Approximate a copula by a histogram density