Learn R Programming
⚠️There's a newer version (1.1-6) of this package.Take me there.

copula (version 0.9-3)

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, Tawn, 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. Tests of extreme-value dependence.

Copy Link

Version

Install

install.packages('copula')

Monthly Downloads

6,137

Version

0.9-3

License

GPL (>= 3)

Maintainer

Jun Yan

Last Published

March 16th, 2010

Functions in copula (0.9-3)

plackettCopula

Construction of a Plackett copula class object
loss

LOSS and ALAE insurance data
fitCopula

Estimation of the dependence parameters in copula models
copula-class

Class "copula"
generator

Generator functions for Archimedean and extreme value copulas
evTestC

Large-sample test of multivariate extreme-value dependence
multIndepTest

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

Multivariate distributions constructed from copulas
fitCopula-class

Class "fitCopula"
ellipCopula-class

Class "ellipCopula"
AssocMeasures

Dependence measures for copulas
indepCopula

Construction of independence copula class objects
fitMvdc

Estimation of multivariate models defined via copulas
Copula

Copula distribution functions
fgmCopula

Construction of a fgmCopula class object
indepTest

Independence test among continuous random variables based on the empirical copula process
indepCopula-class

Class "indepCopula"
gofEVCopula

Goodness-of-fit tests for bivariate extreme-value copulas
summary-methods

Methods for function `summary' in package `copula'
rdj

Daily returns of three stocks in the Dow Jones
mvdc-class

Class "mvdc"
serialIndepTest

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

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

Methods for function `contour' in package `copula'
evCopula-class

Class "evCopula"
fgmCopula-class

Class "fgmCopula"
evTestK

Bivariate test of extreme-value dependence based on Kendall's process
archmCopula

Construction of Archimedean copula class object
persp-methods

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

Class "archmCopula"
copula-internal

Internal Copula Functions
ellipCopula

Construction of elliptical copula class object
uranium

Uranium exploration dataset of Cook & Johnson (1986)
evCopula

Construction of extreme-value copula class objects
gofCopula

Goodness-of-fit tests for copulas
Anfun

Nonparametric rank-based estimators of the Pickands dependence function in the bivariate case
show-methods

Methods for function `show' in package `copula'