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VineCopula (version 1.5)

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

3,706

Version

1.5

License

GPL (>= 2)

Maintainer

Tobias Erhardt

Last Published

June 5th, 2015

Functions in VineCopula (1.5)

Derivatives of a Bivariate Copula Density

BB1Copula-class

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

tawnT2Copula-class

Class "tawnT2Copula"

Constructor of the BB7 Family and Rotated Versions thereof

BiCopMetaContour

Contour Plot of Bivariate Meta Distribution

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

Probability Integral Transformation for R-Vine Copula Models

VineCopula-package

Statistical Inference of Vine Copulas

Vuong Test Comparing Two R-Vine Copula Models

Pseudo-Observations

BiCopVuongClarke

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

surClaytonCopula

Survival and Rotated Clayton Copulas

BB8Copula-class

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

BiCopHfuncDeriv2

Second Derivatives of the h-Function of a Bivariate Copula

Constructor of the Tawn Type 2 Family and Rotated Versions thereof

Blomqvist's Beta Value of a Bivariate Copula

Major German Stocks

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

BiCopPar2TailDep

Tail Dependence Coefficients of a Bivariate Copula

copulaFromFamilyIndex

Construction of a Copula Object from a VineCopula Family Index

(Partial) Correlations for R-Vine Copula Models

Transform D-Vine to R-Vine Structure

R-Vine Copula Model in Matrix Notation

AIC and BIC of an R-Vine Copula Model

Parameter Estimation for Bivariate Copula Data

Lambda-Function (Plot) for Bivariate Copula Data

Selection and Maximum Likelihood Estimation of Bivariate Copula Families

Matrix of Empirical Blomqvist's Beta Values

RVineMatrixNormalize

Normalization of R-Vine Matrix

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

Simulation from an R-Vine Copula Model

Density of a Bivariate Copula

Plotting tools for BiCop objects

Constructor of the Tawn Type 1 Family and Rotated Versions thereof

BB6Copula-class

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

vineCopula-class

Class "vineCopula"

Visualisation of R-Vine Tree Structure

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

tawnT1Copula-class

Class "tawnT1Copula"

Goodness-of-Fit Test for Bivariate Copulas

RVineStructureSelect

Sequential Specification of R- and C-Vine Copula Models

Sequential Estimation of an R-Vine Copula Model

Matrix of Empirical Kendall's Tau Values

surGumbelCopula

Survival and Rotated Gumbel Copulas

Chi-plot for Bivariate Copula Data

Transform C-Vine to R-Vine Structure

Conditional Distribution Function of a Bivariate Copula

PDF of an R-Vine Copula Model

Constructor of the BB1 Family and Rotated Versions thereof

Distribution Function of a Bivariate Copula

BiCopHfuncDeriv

Derivatives of the h-Function of a Bivariate Copula

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

RVineClarkeTest

Clarke Test Comparing Two R-Vine Copula Models

Maximum Likelihood Estimation of an R-Vine Copula Model

Log-Likelihood of an R-Vine Copula Model

Kendall's Tau Value of a Bivariate Copula

Copula Data Objects

Partial Derivatives of Copulas

Bivariate Copula Family Names

Constructor of the BB6 Family and Rotated Versions thereof

Simulation from a Bivariate Copula

pairs.copuladata

Pairs Plot of Copula Data

Second Derivatives of a Bivariate Copula Density

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

Kendall's Plot for Bivariate Copula Data

Constructor of the Joe Family and Rotated Versions thereof

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

Cunstructing BiCop-objects

joeBiCopula-class

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

Constructor of the Class vineCopula.

Independence Test for Bivariate Copula Data

surGumbelCopula-class

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

surClaytonCopula-class

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

BB7Copula-class

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

RVineMatrixCheck

R-Vine Matrix Check

Constructor of the BB8 Family and Rotated Versions thereof