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copBasic (version 2.2.11)

General Bivariate Copula Theory and Many Utility Functions

Description

Extensive functions for bivariate copula (bicopula) computations and related operations for bicopula theory. The lower, upper, product, and select other bicopula are implemented along with operations including the diagonal, survival copula, dual of a copula, co-copula, and numerical bicopula density. Level sets, horizontal and vertical sections are supported. Numerical derivatives and inverses of a bicopula are provided through which simulation is implemented. Bicopula composition, convex combination, asymmetry extension, and products also are provided. Support extends to the Kendall Function as well as the Lmoments thereof. Kendall Tau, Spearman Rho and Footrule, Gini Gamma, Blomqvist Beta, Hoeffding Phi, Schweizer- Wolff Sigma, tail dependency, tail order, skewness, and bivariate Lmoments are implemented, and positive/negative quadrant dependency, left (right) increasing (decreasing) are available. Other features include Kullback-Leibler Divergence, Vuong Procedure, spectral measure, and Lcomoments for fit and inference, Lcomoment ratio diagrams, maximum likelihood, and AIC, BIC, and RMSE for goodness-of-fit.

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Install

install.packages('copBasic')

Monthly Downloads

1,729

Version

2.2.11

License

GPL-2

Maintainer

William Asquith

Last Published

November 3rd, 2025

Functions in copBasic (2.2.11)

The Bivariate Empirical Copula

Data Frame Representation of the Bivariate Empirical Copula

The Inverse of a Copula for U with respect to V

The Inverse of a Copula for V with respect to U

EMPIRqua.regress

Quantile Regression of the Grid of the Bivariate Empirical Copula for V with respect to U

Derivatives of the Grid of the Bivariate Empirical Copula for V with respect to U

The Ali--Mikhail--Haq Copula

EMPIRmed.regress

Median Regression of the Grid of the Bivariate Empirical Copula for V with respect to U

Grid of the Bivariate Empirical Copula

EMPIRmed.regress2

Median Regression of the Grid of the Bivariate Empirical Copula for U with respect to V

Copula of Circular Uniform Distribution

EMPIRgridderinv2

Derivative Inverses of the Grid of the Bivariate Empirical Copula for U with respect to V

EMPIRqua.regress2

Quantile Regression of the Grid of the Bivariate Empirical Copula for U with respect to V

Expected value of U given V

Simulate a Bivariate Empirical Copula For a Fixed Value of U

The Frank Copula

The Fréchet Family Copula

The Hairpin Copula

The Joe--Ma Copula

The Joe/B5 Copula (B5)

The Hüsler--Reiss Extreme Value Copula

Simulate a Bivariate Empirical Copula

The Clayton Copula

The Galambos Extreme Value Copula (with Gamma Power Mixture [Joe/BB4] and Lower Extreme Value Limit)

The Normal (Gaussian) Copula

The Copula of Equation 4.2.20 of Nelsen's Book

Shuffles of Upper-Bound Copula, Example 5.12b of Nelsen's Book

The Gumbel--Hougaard Extreme Value Copula

Derivatives of the Grid of the Bivariate Empirical Copula for U with respect to V

Maximum Asymmetry Measure (or Vector) of a Copula by Exchangeability (Permutation Symmetry)

The Copula of Equation 4.2.12 of Nelsen's Book

Expected value of V given U

Ordinal Sums of M-Copula

LCOMDIA_ManyCops

L-comoment Ratio Diagrams for Many Copulas

EMPIRgridderinv

Derivative Inverses of the Grid of the Bivariate Empirical Copula for V with respect to U

The Marshall--Olkin Copula

The Generalized Farlie--Gumbel--Morgenstern Copula

The Raftery Copula

The Rayleigh Copula

Ordinal Sums of W-Copula

The Fréchet--Hoeffding Upper-Bound Copula

L-comoment Ratio Diagrams for 2-Parameter Gumbel--Hougaard Extreme Value Copula

L-comoment Ratio Diagrams for 3-Parameter Gumbel--Hougaard Extreme Value Copula

Estimate the Parameter of the Plackett Copula

The Plackett Copula

The Product (Independence) Copula

Direct Simulation of a Plackett Copula

The Pareto Copula

The Ratio of the Product Copula to Summation minus Product Copula

Analog to Line of Organic Correlation by Copula Diagonal

Akaike Information Criterion between a Fitted Coupla and an Empirical Copula

Wrapper on a User-Level Formula to Become a Copula Function

Ordinal Sums of Lower-Bound Copula, Example 5.12a of Nelsen's Book

Bayesian Information Criterion between a Fitted Coupla and an Empirical Copula

Porosity and Permeability Data for the Reinecke Oil Field, Horseshoe Atoll, Texas

Bivariate L-moments and L-comoments of a Copula

ReineckeWell266

Porosity and Permeability Data for Well-266 of the Reinecke Oil Field, Horseshoe Atoll, Texas

Convex Combination of Two Copulas

Convex Combination of an Arbitrary Number of Copulas

The Co-Copula Function

The t-Student Copula

Composition of a Single Symmetric Copula with Two Compositing Parameters (Khoudraji Device with Pi Independence)

The Blomqvist Beta of a Copula

The Fréchet--Hoeffding Lower-Bound Copula

Blomqvist (Schmid--Schmidt) Betas of a Copula

Composition of Two Copulas with Two Compositing Parameters (Khoudraji Device)

(Extended) Composition of Two Copulas with Four Compositing Parameters

A Matrix of Blomqvist-like Betas of a Copula

Add Asymmetry to a Copula

Contour Density Plot of a Copula

Density of a Copula

Numerical Derivative of a Copula for V with respect to U

Numerical Derivative of a Copula for U with respect to V

The Diagonals of a Copula

copBasic.fitpara

A Single or Multi-Parameter Optimization Engine (Beta Version)

Numerical Derivative Inverse of a Copula for V with respect to U

copBasic-package

Basic Theoretical Copula, Empirical Copula, and Various Utility Functions

Numerical Rooting the Diagonal of a Copula

Numerical Derivative Inverse of a Copula for U with respect to V

The Gaussian-based (Extreme Value) Copula

The Gini Gamma of a Copula

The Positively Quadrant Dependency State of a Copula

Gluing Two Copulas

Is a Copula Left-Tail Decreasing

The Hoeffding Phi of a Copula or Lp Distances (Independence, Radial Asymmetry, or Reflection Symmetry Forms)

Compute a Copula on a Grid

The Spearman Footrule of a Copula

The Dual of a Copula Function

Is a Copula Right-Tail Increasing

Compute Equal Marginal Probabilities Given a Single Joint AND or OR Probability for a Copula

Is a General Bivariate Function a Copula by Gridded Search?

Is a Copula Permutation Symmetric

Joe's Nu-Skew and the copBasic Nu-Star of a Copula

The Kendall (Distribution) Function of a Copula

Is a Copula Radially Symmetric

level.curvesCOP2

Compute and Plot Level Curves of a Copula U with respect to V

level.curvesCOP

Compute and Plot Level Curves of a Copula V with respect to U

qua.regressCOP2

Perform Quantile Regression using a Copula by Numerical Derivative Method for U with respect to V

qua.regressCOP.draw

Draw Quantile Regressions using a Copula by Numerical Derivative Method for V with respect to U or U with respect to V

The Spearman Rho of a Copula

The (Reflected) Copula of Equation 4.2.20 of Nelsen's Book

Root Mean Square Error between a Fitted Copula and an Empirical Copula

Lower and Upper Semi-Correlations of a Copula

Estimation of the Spectral Measure

A Dependence Measure for a Bivariate Extreme Value Copula based on the Expectation of the Product of Negated Log-Transformed Random Variables U and V

The Sections or Derivative of the Sections of a Copula

Simulate V from U through a Copula by Numerical Derivative Method

Simulate a Copula by Numerical Derivative Method

The Survival Copula

Bivariate Skewness after Joe (2014) or the Univariate L-moments of Combined U and V

The t-EV (Extreme Value) Copula

The Schweizer and Wolff Sigma of a Copula

joint.curvesCOP

Compute Coordinates of the Marginal Probabilities given joint AND or OR Probabilities

L-comoments and Bivariate L-moments of a Copula

lcomoms2.ABcop2parameter

Convert L-comoments to Parameters of Alpha-Beta Compositions of Two One-Parameter Copulas

Compute a Level Set of a Copula U with respect to V

The L-moments of the Kendall Function of a Copula

med.regressCOP2

Perform Median Regression using a Copula by Numerical Derivative Method for U with respect to V

Perform Quantile Regression using a Copula by Numerical Derivative Method for V with respect to U

Perform Median Regression using a Copula by Numerical Derivative Method for V with respect to U

simcomposite3COP

Compute the L-comoments of a Four-Value Composited Copula by Simulation

Estimation of the Stable Tail Dependence Function

The Vuong Procedure for Parametric Copula Comparison

The Kendall Tau and Concordance Function of a Copula

The Tn Statistic of a Fitted Copula to an Empirical Copula

The Tail Concentration Function of a Copula

The Kendall (Distribution) Function of d-Dimensional Independence Copula

lcomoms2.ABKGcop2parameter

Convert L-comoments to Parameters of Alpha-Beta-Kappa-Gamma Compositions of Two One-Parameter Copulas

Simulating the Sample Distribution(s) of L-correlation, L-coskew, and L-cokurtosis for a Copula

joint.curvesCOP2

Compute Coordinates of the Marginal Probabilities given joint AND or OR Probability

The Inverse Kendall Function of a Copula

Compute a Level Set of a Copula V with respect to U

Kullback--Leibler Divergence, Jeffrey Divergence, and Kullback--Leibler Sample Size

Pseudo-Polar Representation of Bivariate Data

Maximum Pseudo-Log-Likelihood Estimation for Copula Parameter Estimation

The Product of Two Copulas

simcompositeCOP

Compute the L-comoments of a Two-Value Composited Copula by Simulation

The Lower- and Upper-Tail Orders of a Copula

The Lower- and Upper-Tail Dependency Parameters of a Copula

The Joint Survival Function