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copula (version 0.9-9)

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. Bivariate and multivariate tests of extreme-value dependence. Bivariate tests of exchangeability.

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Version

Install

install.packages('copula')

Monthly Downloads

54,481

Version

0.9-9

License

GPL (>= 3)

Maintainer

Ivan Kojadinovic

Last Published

December 2nd, 2011

Functions in copula (0.9-9)

AssocMeasures

Dependence measures for copulas
evTestC

Large-sample test of multivariate extreme-value dependence
Copula

Copula distribution functions
contour-methods

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

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

Construction of elliptical copula class object
multSerialIndepTest

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

Test of exchangeability for a bivariate copula
copula-internal

Internal Copula Functions
indepTest

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

Construction of extreme-value copula class objects
persp-methods

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

Construction of independence copula class objects
indepCopula-class

Class "indepCopula"
Mvdc

Multivariate distributions constructed from copulas
archmCopula-class

Class "archmCopula"
rdj

Daily returns of three stocks in the Dow Jones
gofEVCopula

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

Uranium exploration dataset of Cook & Johnson (1986)
multIndepTest

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

Test of exchangeability for extreme-value and left-tail decreasing bivariate copulas
summary-methods

Methods for function `summary' in package `copula'
mvdc-class

Class "mvdc"
copula-class

Class "copula"
fgmCopula

Construction of a fgmCopula class object
plackettCopula

Construction of a Plackett copula class object
gofCopula

Goodness-of-fit tests for copulas
fgmCopula-class

Class "fgmCopula"
show-methods

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

Estimation of the parameters in copula models
loss

LOSS and ALAE insurance data
Anfun

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

Class "ellipCopula"
fitMvdc

Estimation of multivariate models defined via copulas
archmCopula

Construction of Archimedean copula class object
serialIndepTest

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

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

Class "fitCopula"
evCopula-class

Class "evCopula"
generator

Generator functions for Archimedean and extreme value copulas