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VineCopula (version 1.3)

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

3,706

Version

1.3

License

GPL (>= 2)

Maintainer

Tobias Erhardt

Last Published

April 22nd, 2014

Functions in VineCopula (1.3)

BB1Copula-class

Classes "BB1Copula", "surBB1Copula", "r90BB1Copula" and "r270BB1Copula"

BiCopMetaContour

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

Constructor of the BB1 family and rotated versions thereof

correlations to partial correlations and vice versa for R-vines

Goodness-of-fit tests for R-vine copula models

BB8Copula-class

Classes "BB8Copula", "surBB8Copula", "r90BB8Copula" and "r270BB8Copula"

Distribution function of a bivariate copula

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

BiCopVuongClarke

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

R-vine copula model in matrix notation

BB7Copula-class

Classes "BB7Copula", "surBB7Copula", "r90BB7Copula" and "r270BB7Copula"

Derivatives of a bivariate copula density

Maximum likelihood estimation of an R-vine copula model

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

Blomqvist's beta value of a bivariate copula

Plot function for R-vine trees

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

BiCopHfuncDeriv

Derivatives of the h-function of a bivariate copula

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

Kendall's tau value of a bivariate copula

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

partial derivatives of copulas

Log-likelihood of an R-vine copula model

Constructor of the Tawn type 2 family and rotated versions thereof

tawnT1Copula-class

Class "tawnT1Copula"

tawnT2Copula-class

Class "tawnT2Copula"

vineCopula-class

Class "vineCopula"

Constructor of the BB6 family and its derivatives

Density of a bivariate copula

RVineStructureSelect

Sequential specification of R- and C-vine copula models

copulaFromFamilyIndex

Construction of a copula object from a VineCopula family index

Sequential copula selection and estimation of R-vine copula models

Bivariate copula family names

Second derivatives of a bivariate copula density

AIC and BIC of an R-vine copula model

RVineMatrixCheck

Vine Matrix validation

surClaytonCopula-class

Classes "surClaytonCopula", "r90ClaytonCopula" and "r270ClaytonCopula"

Major German Stocks

surClaytonCopula

survival and rotated Clayton Copulas

RVineClarkeTest

Clarke test comparing two R-vine copula models

RVineMatrixNormalize

Permute the variables to achieve a natural ordering

Vuong test comparing two R-vine copula models

Sequential estimation of an R-vine copula model

Constructor of the class vineCopula.

Constructor of the BB7 family and its derivatives

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

Matrix of empirical Blomqvist's beta values

Lambda-function (plot) for bivariate copula data

Constructor of the BB8 family and its derivatives

Transform C-vine to R-vine structure

Matrix of empirical Kendall's tau values

Chi-plot for bivariate copula data

Independence test for bivariate copula data

BiCopPar2TailDep

Tail dependence coefficients of a bivariate copula

Transform D-vine to R-vine structure

Constructor of the survival and rotated versions of the Joe family

VineCopula-package

Statistical inference of vine copulas

Constructor of the Tawn type 1 family and rotated versions thereof

surGumbelCopula-class

Classes "surGumbelCopula", "r90GumbelCopula" and "r270GumbelCopula"

BB6Copula-class

Classes "BB6Copula", "surBB6Copula", "r90BB6Copula" and "r270BB6Copula"

Blomqvist's beta values of an R-vine copula model

joeBiCopula-class

Classes "joeBiCopula", "surJoeBiCopula", "r90JoeBiCopula" and "r270JoeBiCopula"

Goodness-of-fit test for bivariate copulas

surGumbelCopula

survival and rotated Gumbel Copulas

Simulation from an R-vine copula model

Selection and maximum likelihood estimation of bivariate copula families

Simulation from a bivariate copula

BiCopHfuncDeriv2

Second derivatives of the h-function of a bivariate copula

Probability integral transformation for R-vine copula models

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