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VineCopula (version 1.4)

Statistical Inference of Vine Copulas

Description

Tools for bivariate exploratory data analysis, bivariate copula selection and (vine) tree construction are provided. Vine copula models can be estimated either sequentially or by joint maximum likelihood estimation. Sampling algorithms and plotting methods are 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

1.4

License

GPL (>= 2)

Maintainer

Tobias Erhardt

Last Published

January 28th, 2015

Functions in VineCopula (1.4)

Blomqvist's Beta Value of a Bivariate Copula

Independence Test for Bivariate Copula Data

RVineMatrixNormalize

Normalization of R-Vine Matrix

Conditional Distribution Function of a Bivariate Copula

Chi-plot for Bivariate Copula Data

Kendall's Tau Values of an R-Vine Copula Model

Derivatives of a Bivariate Copula Density

surClaytonCopula-class

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

Partial Derivatives of Copulas

Sequential Pair-Copula Selection and Estimation for R-Vine Copula Models

BiCopVuongClarke

Scoring Goodness-of-Fit Test based on Vuong And Clarke Tests for Bivariate Copula Data

copulaFromFamilyIndex

Construction of a Copula Object from a VineCopula Family Index

Kendall's Plot for Bivariate Copula Data

Constructor of the BB1 Family and Rotated Versions thereof

surGumbelCopula

Survival and Rotated Gumbel Copulas

tawnT2Copula-class

Class "tawnT2Copula"

Matrix of Empirical Blomqvist's Beta Values

tawnT1Copula-class

Class "tawnT1Copula"

Parameter of a Bivariate Copula for a given Kendall's Tau Value

Density of a Bivariate Copula

Constructor of the BB6 Family and Rotated Versions thereof

Maximum Likelihood Estimation of an R-Vine Copula Model

BB7Copula-class

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

R-Vine Copula Model in Matrix Notation

RVineStructureSelect

Sequential Specification of R- and C-Vine Copula Models

BB1Copula-class

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

BB8Copula-class

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

Lambda-Function (Plot) for Bivariate Copula Data

BB6Copula-class

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

Distribution Function of a Bivariate Copula

BiCopMetaContour

Contour Plot of Bivariate Meta Distribution

Constructor of the Tawn Type 1 Family and Rotated Versions thereof

Goodness-of-Fit Tests for R-Vine Copula Models

Selection and Maximum Likelihood Estimation of Bivariate Copula Families

BiCopPar2TailDep

Tail Dependence Coefficients of a Bivariate Copula

Gradient of the Log-Likelihood of an R-Vine Copula Model

Probability Integral Transformation for R-Vine Copula Models

RVineClarkeTest

Clarke Test Comparing Two R-Vine Copula Models

Pseudo-Observations

Simulation from an R-Vine Copula Model

Major German Stocks

joeBiCopula-class

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

BiCopHfuncDeriv

Derivatives of the h-Function of a Bivariate Copula

Simulation from a Bivariate Copula

AIC and BIC of an R-Vine Copula Model

BiCopHfuncDeriv2

Second Derivatives of the h-Function of a Bivariate Copula

Vuong Test Comparing Two R-Vine Copula Models

Parameter Estimation for Bivariate Copula Data

Constructor of the Joe Family and Rotated Versions thereof

Constructor of the Tawn Type 2 Family and Rotated Versions thereof

Bivariate Copula Family Names

Transform C-Vine to R-Vine Structure

Visualisation of R-Vine Tree Structure

Blomqvist's Beta Values of an R-Vine Copula Model

surGumbelCopula-class

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

VineCopula-package

Statistical Inference of Vine Copulas

vineCopula-class

Class "vineCopula"

RVineMatrixCheck

R-Vine Matrix Check

Sequential Estimation of an R-Vine Copula Model

Log-Likelihood of an R-Vine Copula Model

Transform D-Vine to R-Vine Structure

Hessian Matrix of the Log-Likelihood of an R-Vine Copula Model

Constructor of the BB7 Family and Rotated Versions thereof

Constructor of the BB8 Family and Rotated Versions thereof

Second Derivatives of a Bivariate Copula Density

Goodness-of-Fit Test for Bivariate Copulas

Matrix of Empirical Kendall's Tau Values

Kendall's Tau Value of a Bivariate Copula

(Partial) Correlations for R-Vine Copula Models

surClaytonCopula

Survival and Rotated Clayton Copulas

Constructor of the Class vineCopula.