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copBasic (version 2.2.9)

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

1,589

Version

2.2.9

License

GPL-2

Maintainer

William Asquith

Last Published

September 29th, 2025

Functions in copBasic (2.2.9)

Grid of the Bivariate Empirical Copula

The Inverse of a Copula for U with respect to V

The Ali--Mikhail--Haq Copula

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

The Bivariate Empirical Copula

Data Frame Representation of the Bivariate Empirical Copula

The Inverse of a Copula for V with respect to U

The Clayton Copula

Copula of Circular Uniform Distribution

EMPIRmed.regress2

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

EMPIRgridderinv2

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

EMPIRgridderinv

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

EMPIRqua.regress2

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

EMPIRmed.regress

Median Regression of the Grid of the Bivariate Empirical 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

Expected value of U given V

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

Simulate a Bivariate Empirical Copula

Simulate a Bivariate Empirical Copula For a Fixed Value of U

The Gumbel--Hougaard Extreme Value Copula

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

The Generalized Farlie--Gumbel--Morgenstern Copula

The Frank Copula

The Joe/B5 Copula (B5)

The Fréchet Family Copula

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

Expected value of V given U

The Hüsler--Reiss Extreme Value Copula

The Hairpin Copula

The Normal (Gaussian) Copula

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

The Marshall--Olkin Copula

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

The Copula of Equation 4.2.12 of Nelsen's Book

The Copula of Equation 4.2.20 of Nelsen's Book

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

LCOMDIA_ManyCops

L-comoment Ratio Diagrams for Many Copulas

L-comoment Ratio Diagrams for 2- and 3-Parameter Gumbel--Hougaard Extreme Value Copula

The Fréchet--Hoeffding Upper-Bound Copula

Direct Simulation of a Plackett Copula

The Product (Independence) Copula

Ordinal Sums of M-Copula

The Plackett Copula

The Rayleigh Copula

Ordinal Sums of W-Copula

Estimate the Parameter of the Plackett Copula

The Raftery Copula

The Ratio of the Product Copula to Summation minus Product Copula

Analog to Line of Organic Correlation by Copula Diagonal

The Pareto Copula

ReineckeWell266

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

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

Bayesian Information Criterion between a Fitted Coupla and an Empirical Copula

The Fréchet--Hoeffding Lower-Bound Copula

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

The t-Student Copula

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

Akaike Information Criterion between a Fitted Coupla and an Empirical Copula

Bivariate L-moments and L-comoments of a Copula

The Blomqvist Beta of a Copula

Convex Combination of Two Copulas

Blomqvist (Schmid--Schmidt) Betas of a Copula

A Matrix of Blomqvist-like Betas of a Copula

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

(Extended) Composition of Two Copulas with Four Compositing Parameters

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

The Co-Copula Function

Convex Combination of an Arbitrary Number of Copulas

Add Asymmetry to a Copula

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

The Diagonals of a Copula

Density of a Copula

copBasic.fitpara

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

Numerical Derivative of a Copula for U with respect to V

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

Contour Density Plot of a Copula

Numerical Rooting the Diagonal of a Copula

copBasic-package

Basic Theoretical Copula, Empirical Copula, and Various Utility Functions

Numerical Derivative of a Copula for V with respect to U

Is a Copula Left-Tail Decreasing

The Dual of a Copula Function

The Spearman Footrule of a Copula

Compute a Copula on a Grid

Gluing Two Copulas

The Positively Quadrant Dependency State of a Copula

The Gini Gamma of a Copula

The Gaussian-based (Extreme Value) Copula

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

Is a Copula Right-Tail Increasing

The Kendall (Distribution) Function of a Copula

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

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

Is a Copula Permutation Symmetric

joint.curvesCOP2

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

joint.curvesCOP

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

Is a Copula Radially Symmetric

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

The Inverse Kendall Function of a Copula

Is a General Bivariate Function a Copula by Gridded Search?

lcomoms2.ABcop2parameter

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

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

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

lcomoms2.ABKGcop2parameter

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

L-comoments and Bivariate L-moments of a Copula

level.curvesCOP2

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

The L-moments of the Kendall Function of a Copula

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

level.curvesCOP

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

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

Maximum Pseudo-Log-Likelihood Estimation for Copula Parameter Estimation

qua.regressCOP2

Perform Quantile 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

The Spearman Rho of a Copula

med.regressCOP2

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

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

The Product of Two Copulas

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

Pseudo-Polar Representation of Bivariate Data

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

Lower and Upper Semi-Correlations of a Copula

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

Simulate V from U through a Copula by Numerical Derivative Method

Estimation of the Spectral Measure

The Sections or Derivative of the Sections of a Copula

simcompositeCOP

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

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

simcomposite3COP

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

Simulate a Copula by Numerical Derivative Method

Estimation of the Stable Tail Dependence Function

The Joint Survival Function

The Survival Copula

The Lower- and Upper-Tail Orders of a Copula

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

The Tail Concentration Function of a Copula

The Kendall Tau and Concordance Function of a Copula

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

The t-EV (Extreme Value) Copula

The Tn Statistic of a Fitted Copula to an Empirical Copula

The Vuong Procedure for Parametric Copula Comparison

The Schweizer and Wolff Sigma of a Copula