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VineCopula (version 1.6-1)

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

1.6-1

License

GPL (>= 2)

Maintainer

Thomas Nagler

Last Published

November 9th, 2015

Functions in VineCopula (1.6-1)

Parameter Estimation for Bivariate Copula Data

Blomqvist's Beta Value of a Bivariate Copula

Derivatives of a Bivariate Copula Density

Kendall's Tau Value of a Bivariate Copula

Selection and Maximum Likelihood Estimation of Bivariate Copula Families

PDF of an R-Vine Copula Model

Independence Test for Bivariate Copula Data

Transform C-Vine to R-Vine Structure

(Partial) Correlations for R-Vine Copula Models

RVineClarkeTest

Clarke Test Comparing Two R-Vine Copula Models

Transform D-Vine to R-Vine Structure

Constructor of the Joe Family and Rotated Versions thereof

Matrix of Empirical Kendall's Tau Values

Log-Likelihood of an R-Vine Copula Model

Simulation from an R-Vine Copula Model

RVineStructureSelect

Sequential Specification of R- and C-Vine Copula Models

surGumbelCopula

Survival and Rotated Gumbel Copulas

surClaytonCopula-class

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

vineCopula-class

Class "vineCopula"

Constructor of the Tawn Type 2 Family and Rotated Versions thereof

AIC and BIC of an R-Vine Copula Model

Probability Integral Transformation for R-Vine Copula Models

Chi-plot for Bivariate Copula Data

Goodness-of-Fit Test for Bivariate Copulas

Kendall's Plot for Bivariate Copula Data

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

RVineMatrixNormalize

Normalization of R-Vine Matrix

Copula Data Objects

BB1Copula-class

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

Distribution Function of a Bivariate Copula

BB6Copula-class

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

Constructor of the BB8 Family and Rotated Versions thereof

Conditional Distribution Function of a Bivariate Copula

Second Derivatives of a Bivariate Copula Density

BB7Copula-class

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

Bivariate Copula Family Names

Pseudo-Observations

Maximum Likelihood Estimation of an R-Vine Copula Model

tawnT1Copula-class

Class "tawnT1Copula"

Sequential Estimation of an R-Vine Copula Model

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

Density of a Bivariate Copula

Vuong Test Comparing Two R-Vine Copula Models

Constructor of the BB6 Family and Rotated Versions thereof

Lambda-Function (Plot) for Bivariate Copula Data

Constructor of the BB1 Family and Rotated Versions thereof

BiCopVuongClarke

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

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

Constructor of the BB7 Family and Rotated Versions thereof

BiCopMetaContour

Contour Plot of Bivariate Meta Distribution

Simulation from a Bivariate Copula

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

Visualisation of R-Vine Tree Structure

tawnT2Copula-class

Class "tawnT2Copula"

surClaytonCopula

Survival and Rotated Clayton Copulas

R-Vine Copula Model in Matrix Notation

RVineMatrixCheck

R-Vine Matrix Check

Partial Derivatives of Copulas

VineCopula-package

Statistical Inference of Vine Copulas

surGumbelCopula-class

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

Constructor of the Class vineCopula.

BB8Copula-class

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

Cunstructing BiCop-objects

BiCopHfuncDeriv2

Second Derivatives of the h-Function of a Bivariate Copula

Matrix of Empirical Blomqvist's Beta Values

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

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

BiCopHfuncDeriv

Derivatives of the h-Function of a Bivariate Copula

pairs.copuladata

Pairs Plot of Copula Data

joeBiCopula-class

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

BiCopPar2TailDep

Tail Dependence Coefficients of a Bivariate Copula

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

copulaFromFamilyIndex

Construction of a Copula Object from a VineCopula Family Index

Constructor of the Tawn Type 1 Family and Rotated Versions thereof

Major German Stocks

Plotting tools for BiCop objects

Standard Errors of an R-Vine Copula Model