fitCopula-class

fitMvdc-class

summaryFitCopula-class

summaryFitMvdc-class

Classes and summaries related to copula model fitting.

classes

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.
        Now with former 'nacopula' for working with nested Archimedean
        copulas.  Specifically, providing procedures for computing
        function values and cube volumes, characteristics such as
        Kendall's tau and tail dependence coefficients, efficient
        sampling algorithms, various estimators, and goodness-of-fit
        tests.  The package also contains related univariate
        distributions and special functions such as the Sibuya
        distribution, the polylogarithm, Stirling and Eulerian numbers.

Martin Maechler

copula

Multivariate Dependence with Copulas

fitCopula-class function

Objects can be created by calls to <code>fitCopula</code>, <code>fitMvdc</code>
  or to their <code>summary</code> method.

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fitCopula-class: Class "fitCopula"

Description

Arguments

Objects from the Class

References