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copula (version 0.9-7)

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

54,481

Version

0.9-7

License

GPL (>= 3)

Maintainer

Jun Yan

Last Published

May 28th, 2010

Functions in copula (0.9-7)

evTestC

Large-sample test of multivariate extreme-value dependence
evTestA

Bivariate test of extreme-value dependence based on the Pickands dependence function
copula-internal

Internal Copula Functions
evCopula-class

Class "evCopula"
ellipCopula-class

Class "ellipCopula"
Anfun

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

Estimation of multivariate models defined via copulas
gofCopula

Goodness-of-fit tests for copulas
archmCopula-class

Class "archmCopula"
loss

LOSS and ALAE insurance data
fitCopula

Estimation of the dependence parameters in copula models
AssocMeasures

Dependence measures for copulas
archmCopula

Construction of Archimedean copula class object
rdj

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

Class "mvdc"
fgmCopula

Construction of a fgmCopula class object
Mvdc

Multivariate distributions constructed from copulas
generator

Generator functions for Archimedean and extreme value copulas
serialIndepTest

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

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

Class "copula"
indepCopula-class

Class "indepCopula"
summary-methods

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

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

Construction of independence copula class objects
fitCopula-class

Class "fitCopula"
ellipCopula

Construction of elliptical copula class object
multIndepTest

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

Copula distribution functions
multSerialIndepTest

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

Construction of extreme-value copula class objects
evTestK

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

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

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

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

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

Class "fgmCopula"
plackettCopula

Construction of a Plackett copula class object