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copBasic (version 1.7.1)
General Copula Theory and Many Utility Functions
Description
Extensive functions for copula computations and related mathematical operations are given that are oriented around the oft cited and fundamental copula theory described by Nelsen (2006), Joe (2015), and other selected works. The lower, upper, product, and select other copulas are implemented. Individual copula functional support is intentionally limited to keep the package focused on an API to general copula theory. Expressions available for an arbitrary copula include the diagonal of a copula, the survival copula, the dual of a copula, co-copula, and numerical copula density. Level curves (sets) are available. Horizontal and vertical copula sections and derivatives of such sections also are supported. The numerical derivatives of a copula are provided as well as inverses; functions for copula simulation thus are supported. Composition of copulas is provided: (1) composition of a single copula using two composition parameters, (2) composition of two copulas using two composition parameters, (3) composition of two copulas using four composition parameters, and (4) random variates of composited copulas. Characteristics of copulas include Kendall Tau, Spearman Rho, Gini Gamma, Blomqvist Beta, and Schweizer-Wolff Sigma, tail dependency, and tail order. Logical evaluators of positively/negatively quadrant dependency, left-tail decreasing, and right-tail increasing also are available. The Kullback-Leibler divergence and Vuong's Procedure to support inference are available. Quantile and median regression for V with respect to U and U with respect to V is available. Empirical copulas (EC) are supported. ECs are dependent on gridded data structures for which generation capability is provided. The derivatives of the EC grid are computable. Also, the inverses of the derivatives, which are the conditional QDFs of copula sections also are computable. Median and quantile regression of an EC also is supported along with support for EC simulation of V conditional on U.