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

Print method for cubes

Plot a bivariate copula or its density

Cross-derivatives via automatic differentiation

NonparEstDepFct

Nonparametric estimator of bivariate dependence function

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 basic information on a copula

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

Calculations on cubes

NewBEVLogisticCopula

Creates a bivariate logistic model extreme value copula

Extreme temperatures at two West Australian meteorological stations

NewBEVSplineCopula

Creates a flexible extreme value copula

GenerateRV.CopApprox

Generates random variates from a copula approximation

Approximate a copula by a histogram density