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copula (version 0.9-5)

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.

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Version

Install

install.packages('copula')

Monthly Downloads

10,705

Version

0.9-5

License

GPL (>= 3)

Maintainer

Jun Yan

Last Published

April 29th, 2010

Functions in copula (0.9-5)

Copula

Copula distribution functions
Mvdc

Multivariate distributions constructed from copulas
copula-class

Class "copula"
generator

Generator functions for Archimedean and extreme value copulas
indepCopula-class

Class "indepCopula"
archmCopula

Construction of Archimedean copula class object
ellipCopula-class

Class "ellipCopula"
gofEVCopula

Goodness-of-fit tests for bivariate extreme-value copulas
multSerialIndepTest

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

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

Class "mvdc"
fitMvdc

Estimation of multivariate models defined via copulas
evCopula

Construction of extreme-value copula class objects
contour-methods

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

Estimation of the dependence parameters in copula models
rdj

Daily returns of three stocks in the Dow Jones
indepCopula

Construction of independence copula class objects
serialIndepTest

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

Construction of a fgmCopula class object
plackettCopula

Construction of a Plackett copula class object
multIndepTest

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

Dependence measures for copulas
evCopula-class

Class "evCopula"
loss

LOSS and ALAE insurance data
summary-methods

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

Methods for function `show' in package `copula'
archmCopula-class

Class "archmCopula"
fitCopula-class

Class "fitCopula"
evTestK

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

Class "fgmCopula"
uranium

Uranium exploration dataset of Cook & Johnson (1986)
copula-internal

Internal Copula Functions
ellipCopula

Construction of elliptical copula class object
gofCopula

Goodness-of-fit tests for copulas
Anfun

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

Large-sample test of multivariate extreme-value dependence
indepTest

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