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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.

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Version

Install

install.packages('copBasic')

Monthly Downloads

568

Version

1.7.1

License

GPL-2

Maintainer

William Asquith

Last Published

January 30th, 2015

Functions in copBasic (1.7.1)

The Sections or Derivative of the Sections of a Copula

ReineckeWell266

Porosity and Permeability Data for Well-266 of the Reinecke Oil Field, Horseshoe Atoll, Texas

Perform Median Regression using a Copula by Numerical Derivative Method for V with respect to U

Grid of the Bivariate Emprical Copula

Compute a Copula on a Grid

The Fréchet{Frechet} Family Copula

The Fréchet{Frechet}-Hoeffding Lower Bound Copula

PlackettPlackettNP

Parameters and L-comoments of a Composition of Two Plackett Copulas with Two Compositing Parameters

The Copula of Equation 4.2.12 of Nelsen's Book

EMPIRqua.regress2

Quantile Regression of the Grid of the Bivariate Emprical Copula for U with respect to V

qua.regressCOP2

Perform Quantile Regression using a Copula by Numerical Derivative Method for U with respect to V

level.curvesCOP2

Compute and Plot Level Curves of a Copula U with respect to V

EMPIRgridderinv

Derivative Inverses of the Grid of the Bivariate Emprical Copula for V with respect to U

A Wrapper on a User-Level Formula to Become a Copula Function

EMPIRmed.regress

Median Regression of the Grid of the Bivariate Emprical Copula for V with respect to U

Simulate a Copula by Numerical Derivative Method

Porosity and Permeability Data for the Reinecke Oil Field, Horseshoe Atoll, Texas

Compute a Level Set of a Copula U with respect to V

EMPIRqua.regress

Quantile Regression of the Grid of the Bivariate Emprical Copula for V with respect to U

copBasic-package

Basic Theoretical Copula, Empirical Copula, and Various Utility Functions

The Dual of a Copula Function

EMPIRgridderinv2

Derivative Inverses of the Grid of the Bivariate Emprical Copula for U with respect to V

Dataframe of the Bivariate Emprical Copula

Perform Quantile Regression using a Copula by Numerical Derivative Method for V with respect to U

Is a Copula Right-Tail Increasing

The Gini's Gamma of a Copula

Is a Copula Left-Tail Decreasing

Is a Copula Radially Symmetric

Simulating the Sample Distribution(s) of L-correlation, L-coskew, and L-cokurtosis for a Copula

Simulate a Bivariate Empirical Copula

The Diagonals of a Copula

Density of a Copula

The Fréchet{Frechet}-Hoeffding Upper Bound Copula

The Schweizer and Wolff's Sigma of a Copula

Derivatives of the Grid of the Bivariate Emprical Copula for V with respect to U

Kullback-Leibler Divergence, Jeffrey's Divergence, and Kullback-Leibler Sample Size

Contour Density Plot of a Copula

The Lower and Upper Semi-Correlations of a Copula

The Plackett Copula

Is a Copula Permutation Symmetric

Estimate the Parameter of the Plackett Copula

Direct Simulation of a Plackett Copula

Vuong's Procedure for Parametric Copula Comparison

The Inverse of a Copula for V with respect to U

Compute a Level Set of a Copula V with respect to U

The Bivariate Empirical Copula

lcomoms2.ABcop2parameter

Convert L-comoments to Parameters of Compositions of Two 2-parameter Copulas

simcomposite3COP

Simulation of a Composited Copula

The ratio of the Product Copula to Summation minus Product Copula

The Inverse of a Copula for U with respect to V

The Joint Survival Function

Simulate a Bivariate Empirical Copula For a Fixed Value of U

The Co-Copula Function

The Positively Quadrant Dependency State of a Copula

med.regressCOP2

Perform Median Regression using a Copula by Numerical Derivative Method for U with respect to V

Numerical Derivative of a Copula for V with respect to U

Numerical Derivative Inverse of a Copula for V with respect to U

PlackettPlackettABKGtest

Parameters and L-comoments of a Composition of Two Plackett Copulas with Four Compositing Parameters

The Spearman's Rho of a Copula

The Blomqvist's Beta of a Copula

The Product (Independence) Copula

The Kendall's Tau of a Copula

lcomoms2.ABKGcop2parameter

Convert L-comoments to Parameters of Compositions of Two 2-parameter Copulas

Derivatives of the Grid of the Bivariate Emprical Copula for U with respect to V

Numerical Rooting the Diagonal of a Copula

Numerical Derivative Inverse of a Copula for U with respect to V

Numerical Derivative of a Copula for U with respect to V

level.curvesCOP

Compute and Plot Level Curves of a Copula V with respect to U

qua.regressCOP.draw

Draw Quantile Regressions using a Copula by Numerical Derivative Method for V with respect to U or U with respect to V

The Survival Copula

The Hoeffding's Phi of a Copula or Lp Distances (Independence, Radial Asymmetry, or Reflection Symmetry Forms)

The Lower- and Upper-Tail Orders of a Copula

Composition of a Single Symmetric Copula with Two Compositing Parameters

Composition of Two Copulas with Two Compositing Parameters

EMPIRmed.regress2

Median Regression of the Grid of the Bivariate Emprical Copula for U with respect to V

(Extended) Composition of Two Copulas with Four Compositing Parameters

The Lower- and Upper-Tail Dependency Parameters of a Copula

Simulate V from U through a Copula by Numerical Derivative Method

simcompositeCOP

Simulation of a Composited Copula

The Gumbel-Hougaard Copula

Bivariate Skewness after Joe (2015) or the Univariate L-moments of Combined U and V