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copula (version 0.9-6)

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

9,212

Version

0.9-6

License

GPL (>= 3)

Maintainer

Jun Yan

Last Published

May 10th, 2010

Functions in copula (0.9-6)

evCopula-class

Class "evCopula"
archmCopula-class

Class "archmCopula"
fitCopula

Estimation of the dependence parameters in copula models
indepCopula-class

Class "indepCopula"
evCopula

Construction of extreme-value copula class objects
ellipCopula-class

Class "ellipCopula"
ellipCopula

Construction of elliptical copula class object
archmCopula

Construction of Archimedean copula class object
copula-class

Class "copula"
generator

Generator functions for Archimedean and extreme value copulas
rdj

Daily returns of three stocks in the Dow Jones
Anfun

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

Class "fgmCopula"
multSerialIndepTest

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

Dependence measures for copulas
evTestC

Large-sample test of multivariate extreme-value dependence
mvdc-class

Class "mvdc"
evTestK

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

Multivariate distributions constructed from copulas
indepCopula

Construction of independence copula class objects
fgmCopula

Construction of a fgmCopula class object
summary-methods

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

Copula distribution functions
gofCopula

Goodness-of-fit tests for copulas
copula-internal

Internal Copula Functions
loss

LOSS and ALAE insurance data
persp-methods

Methods for function `persp' in Package `copula'
serialIndepTest

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

Estimation of multivariate models defined via copulas
uranium

Uranium exploration dataset of Cook & Johnson (1986)
indepTest

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

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

Construction of a Plackett copula class object
fitCopula-class

Class "fitCopula"
multIndepTest

Independence test among continuous random vectors based on the empirical copula process
contour-methods

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

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