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copBasic (version 2.2.4)

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, asymmetry extension, 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

702

Version

2.2.4

License

GPL-2

Maintainer

William Asquith

Last Published

March 8th, 2024

Functions in copBasic (2.2.4)

CLcop

The Clayton Copula
COP

The Copula
EMPIRgrid

Grid of the Bivariate Empirical Copula
EMPIRqua.regress2

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

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

The Ali--Mikhail--Haq Copula
EMPIRmed.regress2

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

Copula of Circular Uniform Distribution
EMPIRsim

Simulate a Bivariate Empirical Copula
EMPIRcop

The Bivariate Empirical 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
EMPIRsimv

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

Expected value of U given V
EMPIRgridderinv2

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

Expected value of V given U
EMPIRmed.regress

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

The Fréchet Family Copula
GHcop

The Gumbel--Hougaard Extreme Value Copula
PSP

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

The Fréchet--Hoeffding Upper-Bound Copula
GLcop

The Galambos Extreme Value Copula (with Gamma Power Mixture [Joe/BB4] and Lower Extreme Value Limit)
JOcopB5

The Joe/B5 Copula (B5)
HRcop

The Hüsler--Reiss Extreme Value Copula
COPinv

The Inverse of a Copula for V with respect to U
COPinv2

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

Maximum Asymmetry Measure (or Vector) of a Copula by Exchangability
RAYcop

The Rayleigh Copula
PLACKETTpar

Estimate the Parameter of the Plackett Copula
FGMcop

The Generalized Farlie--Gumbel--Morgenstern Copula
N4212cop

The Copula of Equation 4.2.12 of Nelsen's Book
ORDSUMcop

Ordinal Sums of M-Copula
EMPIRgridder2

Derivatives of the Grid of the Bivariate Empirical Copula for U with respect to V
M_N5p12b

Shuffles of Upper-Bound Copula, Example 5.12b of Nelsen's Book
PARETOcop

The Pareto Copula
PLACKETTcop

The Plackett Copula
PLACKETTsim

Direct Simulation of a Plackett Copula
RFcop

The Raftery Copula
asCOP

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

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

Bayesian Information Criterion between a Fitted Coupla and an Empirical Copula
bicoploc

Analog to Line of Organic Correlation by Copula Diagonal
ReineckeWells

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

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

The Fréchet--Hoeffding Lower-Bound Copula
coCOP

The Co-Copula Function
ORDSUWcop

Ordinal Sums of W-Copula
P

The Product (Independence) Copula
ReineckeWell266

Porosity and Permeability Data for Well-266 of the Reinecke Oil Field, Horseshoe Atoll, Texas
composite2COP

Composition of Two Copulas with Two Compositing Parameters
W_N5p12a

Ordinal Sums of Lower-Bound Copula, Example 5.12a of Nelsen's Book
composite3COP

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

Akaike Information Criterion between a Fitted Coupla and an Empirical Copula
composite1COP

Composition of a Single Symmetric Copula with Two Compositing Parameters
densityCOP

Density of a Copula
copBasic-package

Basic Theoretical Copula, Empirical Copula, and Various Utility Functions
blomCOP

The Blomqvist Beta of a Copula
blomCOPss

Blomqvist (Schmid--Schmidt) Betas of a Copula
densityCOPplot

Contour Density Plot of a Copula
copBasic.fitpara

A Single or Multi-Parameter Optimization Engine (Beta Version)
blomatrixCOP

A Matrix of Blomqvist-like Betas of a Copula
diagCOP

The Diagonals of a Copula
diagCOPatf

Numerical Rooting the Diagonal of a Copula
convex2COP

Convex Combination of Two Copulas
isfuncCOP

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

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

Convex Combination of an Arbitrary Number of Copulas
breveCOP

Add Asymmetry to a Copula
derCOP

Numerical Derivative of a Copula for V with respect to U
lcomoms2.ABcop2parameter

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

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

Compute and Plot Level Curves of a Copula V with respect to U
derCOPinv2

Numerical Derivative Inverse of a Copula for U with respect to V
derCOP2

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

The Hoeffding Phi of a Copula or Lp Distances (Independence, Radial Asymmetry, or Reflection Symmetry Forms)
med.regressCOP2

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

Gluing Two Copulas
isCOP.LTD

Is a Copula Left-Tail Decreasing
mleCOP

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

The Gaussian-based (Extreme Value) Copula
spectralmeas

Estimation of the Spectral Measure
kullCOP

Kullback--Leibler Divergence, Jeffrey Divergence, and Kullback--Leibler Sample Size
isCOP.PQD

The Positively Quadrant Dependency State of a Copula
lcomCOP

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

Compute a Copula on a Grid
duCOP

The Dual of a Copula Function
stabtaildepf

Estimation of the Stable Tail Dependence Function
isCOP.RTI

Is a Copula Right-Tail Increasing
prod2COP

The Product of Two Copulas
psepolar

Pseudo-Polar Representation of Bivariate Data
uvlmoms

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

Simulate a Copula by Numerical Derivative Method
footCOP

The Spearman Footrule of a Copula
giniCOP

The Gini Gamma of a Copula
simCOPmicro

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

The Inverse Kendall Function of a Copula
wolfCOP

The Schweizer and Wolff Sigma of a Copula
isCOP.permsym

Is a Copula Permutation Symmetric
isCOP.radsym

Is a Copula Radially Symmetric
jointCOP

Compute Equal Marginal Probabilities Given a Single Joint AND or OR Probability for a Copula
kfuncCOP

The Kendall (Distribution) Function of a Copula
vuongCOP

The Vuong Procedure for Parametric Copula Comparison
joint.curvesCOP

Compute Coordinates of the Marginal Probabilities given joint AND or OR Probabilities
joint.curvesCOP2

Compute Coordinates of the Marginal Probabilities given joint AND or OR Probability
level.curvesCOP2

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

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

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

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

Root Mean Square Error between a Fitted Copula and an Empirical Copula
lcomoms2.ABKGcop2parameter

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

The Tn Statistic of a Fitted Copula to an Empirical Copula
level.setCOP2

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

The Survival Copula
med.regressCOP

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

The Tail Concentration Function of a Copula
taildepCOP

The Lower- and Upper-Tail Dependency Parameters of a Copula
qua.regressCOP

Perform Quantile Regression using a Copula by Numerical Derivative Method for V with respect to U
simcomposite3COP

Compute the L-comoments of a Four-Value Composited Copula by Simulation
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
qua.regressCOP2

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

Compute the L-comoments of a Two-Value Composited Copula by Simulation
rhoCOP

The Spearman Rho of a Copula
sectionCOP

The Sections or Derivative of the Sections of a Copula
tailordCOP

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

Lower and Upper Semi-Correlations of a Copula
surfuncCOP

The Joint Survival Function
tauCOP

The Kendall Tau and Concordance Function of a Copula
tEVcop

The t-EV (Extreme Value) Copula