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SimCop (version 0.7.0)

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.

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Version

Install

install.packages('SimCop')

Monthly Downloads

294

Version

0.7.0

License

GPL (>= 2)

Maintainer

Berwin Turlach

Last Published

December 20th, 2017

Functions in SimCop (0.7.0)

CrossSum

Calculations on cubes

MaxTemp

Extreme temperatures at two West Australian meteorological stations

NewBEVAsyLogisticCopula

Creates a bivariate asymmetric logistic model extreme value copula

GenerateRV.CopApprox

Generates random variates from a copula approximation

NewBEVAsyMixedModelCopula

Creates a bivariate asymmetric mixed model extreme value copula

GenerateRV

GenerateRV generic

NewBEVLogisticCopula

Creates a bivariate logistic model extreme value copula

GetApprox

Approximate a copula by a histogram density

NewMEVAsyLogisticCopula

Creates a multivariate asymmetric logistic copula

print.SimCop

Print basic information on a copula

NewBEVSplineCopula

Creates a flexible extreme value copula

SplineFitDepFct

Fit a dependence function by spline smoothing

SimCop

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

NewMVClaytonCopula

Creates a Clayton copula

NewCube

Cross-derivatives via automatic differentiation

NewMEVGumbelCopula

Creates a Gumpel copula

plot.CopApprox

Plot the histogram density approximation to a copula

NewMVFrankCopula

Creates a Frank copula

print.ADCube

Print method for cubes

NonparEstDepFct

Nonparametric estimator of bivariate dependence function

NewBEVMixedModelCopula

Creates a bivariate mixed model extreme value copula