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copBasic (version 2.1.5)

General Bivariate Copula Theory and Many Utility Functions

Description

Extensive functions for bivariate copula (bicopula) computations and related operations for bicopula theory. The lower, upper, product, and select other bicopula are implemented along with operations including the diagonal, survival copula, dual of a copula, co-copula, and numerical bicopula density. Level sets, horizontal and vertical sections are supported. Numerical derivatives and inverses of a bicopula are provided through which simulation is implemented. Bicopula composition, convex combination, and products also are provided. Support extends to the Kendall Function as well as the Lmoments thereof. Kendall Tau, Spearman Rho and Footrule, Gini Gamma, Blomqvist Beta, Hoeffding Phi, Schweizer- Wolff Sigma, tail dependency, tail order, skewness, and bivariate Lmoments are implemented, and positive/negative quadrant dependency, left (right) increasing (decreasing) are available. Other features include Kullback-Leibler divergence, Vuong procedure, spectral measure, and Lcomoments for inference, maximum likelihood, and AIC, BIC, and RMSE for goodness-of-fit.

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Version

Install

install.packages('copBasic')

Monthly Downloads

560

Version

2.1.5

License

GPL-2

Maintainer

William Asquith

Last Published

March 23rd, 2020

Functions in copBasic (2.1.5)

EMPIRcop

The Bivariate Empirical Copula
asCOP

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

Convex Combination of an Arbitrary Number of Copulas
copBasic-package

Basic Theoretical Copula, Empirical Copula, and Various Utility Functions
EMPIRqua.regress2

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

The Inverse of a Copula for V with respect to U
diagCOP

The Diagonals of a Copula
EMPIRgridderinv

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

The Fr<U+00E9>chet--Hoeffding Upper Bound Copula
EMPIRcopdf

Data Frame Representation of the Bivariate Empirical Copula
EMPIRqua.regress

Quantile Regression of the Grid of the Bivariate Empirical Copula for V with respect to U
derCOPinv2

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

Grid of the Bivariate Empirical Copula
isCOP.RTI

Is a Copula Right-Tail Increasing
PLACKETTpar

Estimate the Parameter of the Plackett Copula
COP

The Copula
EMPIRgridderinv2

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

The Plackett Copula
isCOP.permsym

Is a Copula Permutation Symmetric
N4212cop

The Copula of Equation 4.2.12 of Nelsen's Book
blomCOP

The Blomqvist Beta of a Copula
coCOP

The Co-Copula Function
ReineckeWells

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

The Raftery Copula
footCOP

The Spearman Footrule of a Copula
W

The Fr<U+00E9>chet--Hoeffding Lower Bound Copula
ReineckeWell266

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

The Gaussian-based (Extreme Value) Copula
isCOP.LTD

Is a Copula Left-Tail Decreasing
copBasic.fitpara

A Single or Multi-Parameter Optimization Engine (Beta Version)
isCOP.PQD

The Positively Quadrant Dependency State of a Copula
densityCOP

Density of a Copula
densityCOPplot

Contour Density Plot of a Copula
joeskewCOP

Joe's Nu-Skew and the copBasic Nu-Star of a Copula
EMPIRgridder2

Derivatives of the Grid of the Bivariate Empirical Copula for U with respect to V
joint.curvesCOP

Compute Coordinates of the Marginal Probabilities given joint AND or OR Probabilities
EMPIRgridder

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

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

Compute a Copula on a Grid
hoefCOP

The Hoeffding Phi of a Copula or Lp Distances (Independence, Radial Asymmetry, or Reflection Symmetry Forms)
JOcopB5

The Joe/B5 Copula (B5)
EMPIRsim

Simulate a Bivariate Empirical Copula
PLACKETTsim

Direct Simulation of a Plackett Copula
EMPIRsimv

Simulate a Bivariate Empirical Copula For a Fixed Value of U
HRcop

The H<U+00FC>sler--Reiss Extreme Value Copula
AMHcop

The Ali--Mikhail--Haq Copula
composite3COP

(Extended) Composition of Two Copulas with Four Compositing Parameters
FGMcop

The Generalized Farlie--Gumbel--Morgenstern Copula
convex2COP

Convex Combination of Two Copulas
CLcop

The Clayton Copula
level.setCOP

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

The Gumbel--Hougaard Extreme Value Copula
GLcop

The Galambos Extreme Value Copula (with Gamma Power Mixture [Joe/BB4] and Lower Extreme Value Limit)
level.curvesCOP

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

The Ratio of the Product Copula to Summation minus Product Copula
duCOP

The Dual of a Copula Function
lcomCOP

L-comoments and Bivariate L-moments of a Copula
diagCOPatf

Numerical Rooting the Diagonal of a Copula
level.setCOP2

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

Simulate a Copula by Numerical Derivative Method
level.curvesCOP2

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

Pseudo-Polar Representation of Bivariate Data
FRECHETcop

The Fr<U+00E9>chet Family Copula
lcomCOPpv

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

Is a Copula Radially Symmetric
spectralmeas

Estimation of the Spectral Measure
isfuncCOP

Is a General Bivariate Function a Copula by Gridded Search?
semicorCOP

The Lower and Upper Semi-Correlations of a Copula
simcompositeCOP

Compute the L-comoments of a Two-Value Composited Copula by Simulation
qua.regressCOP

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

Bivariate L-moments and L-comoments of a Copula
bicCOP

The Bayesian Information Criterion between a Fitted Coupla and an Empirical Copula
composite1COP

Composition of a Single Symmetric Copula with Two Compositing Parameters
composite2COP

Composition of Two Copulas with Two Compositing Parameters
kfuncCOP

The Kendall (Distribution) Function of a Copula
simCOPmicro

Simulate V from U through a Copula by Numerical Derivative Method
vuongCOP

The Vuong Procedure for Parametric Copula Comparison
kfuncCOPinv

The Inverse Kendall Function of a Copula
derCOP2

Numerical Derivative of a Copula for U with respect to V
simcomposite3COP

Compute the L-comoments of a Four-Value Composited Copula by Simulation
derCOPinv

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

The Schweizer and Wolff Sigma of a Copula
lcomoms2.ABKGcop2parameter

Convert L-comoments to Parameters of Alpha-Beta-Kappa-Gamma Compositions of Two One-Parameter Copulas
lcomoms2.ABcop2parameter

Convert L-comoments to Parameters of Alpha-Beta Compositions of Two One-Parameter Copulas
rhoCOP

The Spearman Rho of a Copula
kfuncCOPlmoms

The L-moments of the Kendall Function of a Copula
giniCOP

The Gini Gamma of a Copula
glueCOP

The Gluing Two Copulas
rhobevCOP

A Dependence Measure for a Bivariate Extreme Value Copula based on the Expectation of the Product of Negated Log-Transformed Random Variables U and V
kullCOP

Kullback--Leibler Divergence, Jeffrey Divergence, and Kullback--Leibler Sample Size
statTn

The Tn Statistic of a Fitted Copula to an Empirical Copula
stabtaildepf

Estimation of the Stable Tail Dependence Function
prod2COP

The Product of Two Copulas
mleCOP

Maximum Pseudo-Log-Likelihood Estimation for Copula Parameter Estimation
rmseCOP

The Root Mean Square Error between a Fitted Copula and an Empirical Copula
uvlmoms

Bivariate Skewness after Joe (2014) or the Univariate L-moments of Combined U and V
surCOP

The Survival Copula
surfuncCOP

The Joint Survival Function
sectionCOP

The Sections or Derivative of the Sections of a Copula
tauCOP

The Kendall Tau and Concordance Function of a Copula
joint.curvesCOP2

Compute Coordinates of the Marginal Probabilities given joint AND or OR Probability
jointCOP

Compute Equal Marginal Probabilities Given a Single Joint AND or OR Probability for a Copula
med.regressCOP

Perform Median Regression using a Copula by Numerical Derivative Method for V with respect to U
med.regressCOP2

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

The t-EV (Extreme Value) Copula
taildepCOP

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

The Tail Concentration Function of a Copula
qua.regressCOP2

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

The Lower- and Upper-Tail Orders of a Copula
COPinv2

The Inverse of a Copula for U with respect to V
EMPIRmed.regress

Median Regression of the Grid of the Bivariate Empirical Copula for V with respect to U
EMPIRmed.regress2

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

The Pareto Copula
aicCOP

The Akaike Information Criterion between a Fitted Coupla and an Empirical Copula
P

The Product (Independence) Copula