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copula (version 0.8-12)

Multivariate dependence with copulas

Description

Classes (S4) of commonly used copulas including elliptical (normal and t), Archimedean (Clayton, Gumbel, Frank, and Ali-Mikhail-Haq), extreme value (Gumbel, Husler-Reiss, Galambos, and t-EV), and other families (Plackett and Farlie-Gumbel-Morgenstern). Methods for density, distribution, random number generation, bivariate dependence measures, perspective and contour plots. Functions for fitting copula models with variance estimate. Independence tests among random variables and random vectors. Serial independence tests for univariate and multivariate continuous time series. Goodness-of-fit tests for copulas based on multipliers and on the parametric bootstrap.

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Version

Install

install.packages('copula')

Monthly Downloads

10,705

Version

0.8-12

License

GPL (>= 3)

Maintainer

Jun Yan

Last Published

October 8th, 2009

Functions in copula (0.8-12)

archmCopula-class

Class "archmCopula"
fitCopula-class

Class "fitCopula"
Mvdc

Multivariate distributions constructed from copulas
rdj

Daily Returns of Three Stocks in Dow-Jones
evTest

Large-sample test of extreme-value dependence
ellipCopula-class

Class "ellipCopula"
fitMvdc

Estimation of multivariate models defined via copulas
copula-internal

Internal Copula Functions
indepCopula-class

Class "indepCopula"
mvdc-class

Class "mvdc"
multIndepTest

Independence test among continuous random vectors based on the empirical copula process
uranium

Uranium exploration dataset of Cook & Johnson (1986)
serialIndepTest

Serial independence test for continuous time series based on the empirical copula process
indepTest

Independence test among continuous random variables based on the empirical copula process
gofCopula

Goodness-of-fit tests for copulas
fitCopula

Estimation of the dependence parameters in copula models
evCopula

Construction of extreme value copula class objects
fgmCopula-class

Class "fgmCopula"
summary-methods

Methods for function `summary' in package `copula'
contour-methods

Methods for function `contour' in package `copula'
AssocMeasures

Dependence measures for copulas
indepCopula

Construction of independence copula class object
persp-methods

Methods for function `persp' in Package `copula'
copula-class

Class "copula"
show-methods

Methods for function `show' in package `copula'
generator

Generator functions for Archimedean and extreme value copulas
loss

LOSS and ALAE Insurance Data
evCopula-class

Class "evCopula"
fgmCopula

Construction of a fgmCopula class object
archmCopula

Construction of Archimedean copula class object
Copula

Copula distribution functions
plackettCopula

Construction of a Plackett copula class object
ellipCopula

Construction of elliptical copula class object
multSerialIndepTest

Serial independence test for multivariate continuous time series based on the empirical copula process