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VineCopula (version 1.0)

Statistical inference of vine copulas

Description

This package provides functions for statistical inference of vine copulas. It contains tools for bivariate exploratory data analysis, bivariate copula selection and (vine) tree construction. Models can be estimated either sequentially or by joint maximum likelihood estimation. Sampling algorithms and plotting methods are also included. Data is assumed to lie in the unit hypercube (so-called copula data). For C- and D-vines links to the package CDVine are provided.

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Version

Install

install.packages('VineCopula')

Monthly Downloads

2,950

Version

1.0

License

GPL (>= 2)

Maintainer

Ulf Schepsmeier

Last Published

June 28th, 2012

Functions in VineCopula (1.0)

Chi-plot for bivariate copula data

Simulation from a bivariate copula

RVineClarkeTest

Clarke test comparing two R-vine copula models

Kendall's tau values of an R-vine copula model

Kendall's plot (K-plot) for bivariate copula data

Major German Stocks

Sequential copula selection and estimation of R-vine copula models

AIC and BIC of an R-vine copula model

R-vine copula model in matrix notation

Gradient of the log-likelihood of an R-vine copula model

Matrix of empirical Kendall's tau values

Lambda-function (plot) for bivariate copula data

Density of a bivariate copula

Derivatives of a bivariate copula density

Conditional distribution function (h-function) of a bivariate copula

Plot function for R-vine trees

Transform C-vine to R-vine structure

Transform R-vine to C-vine structure

Transform D-vine to R-vine structure

RVineStructureSelect

Sequential specification of R- and C-vine copula models

Simulation from an R-vine copula model

Parameter estimation for bivariate copula data using inversion of Kendall's tau or maximum likelihood estimation

Maximum likelihood estimation of an R-vine copula model

BiCopHfuncDeriv

Derivatives of the h-function of a bivariate copula

VineCopula-package

Statistical inference of vine copulas

BiCopHfuncDeriv2

Second derivatives of the h-function of a bivariate copula

BiCopVuongClarke

Scoring goodness-of-fit test based on Vuong and Clarke tests for bivariate copula data

Kendall's tau value of a bivariate copula

Distribution function of a bivariate copula

Selection and maximum likelihood estimation of bivariate copula families

BiCopMetaContour

Contour plot of bivariate meta distribution with different margins and copula (theoretical and empirical)

Sequential estimation of an R-vine copula model

Independence test for bivariate copula data

Parameter of a bivariate copula for a given Kendall's tau value

Hessian matrix of the log-likelihood of an R-vine copula model

Log-likelihood of an R-vine copula model

Second derivatives of a bivariate copula density

Transform R-vine to D-vine structure

Vuong test comparing two R-vine copula models

BiCopGofKendall

Goodness-of-fit test based on Kendall's process for bivariate copula data

BiCopPar2TailDep

Tail dependence coefficients of a bivariate copula

Bivariate copula family names