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VineCopula (version 1.1-2)

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

5,245

Version

1.1-2

License

GPL (>= 2)

Maintainer

Ulf Schepsmeier

Last Published

August 26th, 2013

Functions in VineCopula (1.1-2)

BiCopPar2TailDep

Tail dependence coefficients of a bivariate copula
RVineCopSelect

Sequential copula selection and estimation of R-vine copula models
RVineMatrix

R-vine copula model in matrix notation
BiCopGofTest

Goodness-of-fit test for bivariate copulas
BiCopMetaContour

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

Simulation from a bivariate copula
BiCopHfunc

Conditional distribution function (h-function) of a bivariate copula
D2RVine

Transform D-vine to R-vine structure
BiCopCDF

Distribution function of a bivariate copula
RVineAIC/BIC

AIC and BIC of an R-vine copula model
BiCopPar2Tau

Kendall's tau value of a bivariate copula
C2RVine

Transform C-vine to R-vine structure
BiCopHfuncDeriv

Derivatives of the h-function of a bivariate copula
RVineCor2pcor

correlations to partial correlations and vice versa for R-vines
RVineMatrixCheck

Vine Matrix validation
BiCopTau2Par

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

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

Log-likelihood of an R-vine copula model
RVinePar2Tau

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

Clarke test comparing two R-vine copula models
RVineMLE

Maximum likelihood estimation of an R-vine copula model
BiCopDeriv2

Second derivatives of a bivariate copula density
RVineSeqEst

Sequential estimation of an R-vine copula model
RVineStructureSelect

Sequential specification of R- and C-vine copula models
BiCopHfuncDeriv2

Second derivatives of the h-function of a bivariate copula
TauMatrix

Matrix of empirical Kendall's tau values
BiCopIndTest

Independence test for bivariate copula data
BiCopSelect

Selection and maximum likelihood estimation of bivariate copula families
RVineMatrixNormalize

Permute the variables to achieve a natural ordering
RVineHessian

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

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

Bivariate copula family names
BiCopVuongClarke

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

Major German Stocks
BiCopDeriv

Derivatives of a bivariate copula density
RVineSim

Simulation from an R-vine copula model
BiCopChiPlot

Chi-plot for bivariate copula data
RVineTreePlot

Plot function for R-vine trees
VineCopula-package

Statistical inference of vine copulas
BiCopPDF

Density of a bivariate copula
BiCopEst

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

Lambda-function (plot) for bivariate copula data
RVineVuongTest

Vuong test comparing two R-vine copula models