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copula (version 0.999-10)

Multivariate Dependence with Copulas

Description

Classes (S4) of commonly used elliptical, Archimedean, extreme value and some more copula families. Methods for density, distribution, random number generation, bivariate dependence measures, perspective and contour plots. Fitting copula models including variance estimates. Independence and serial (univariate and multivariate) independence tests, and other copula related tests. Empirical copula and multivariate CDF. Goodness-of-fit tests for copulas based on multipliers, the parametric bootstrap with several transformation options. Merged former package 'nacopula' for nested Archimedean copulas: Efficient sampling algorithms, various estimators, goodness-of-fit tests and related tools and special functions.

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Version

Install

install.packages('copula')

Monthly Downloads

10,705

Version

0.999-10

License

GPL (>= 3) | file LICENCE

Maintainer

Martin Maechler

Last Published

June 19th, 2014

Functions in copula (0.999-10)

Pseudo-Observations of Radial and Uniform Part of Elliptical and Archimedean Copulas

SMI Data -- 141 Days in Winter 2011/2012

Outer Power Transformation of Archimedean Copulas

Classes Representing Extreme-Value Copulas

contour-methods

Methods for Function 'contour' in Package 'copula'

Bivariate Test of Extreme-Value Dependence Based on Kendall's Process

Mother Classes "Copula" and "copula" of All Copulas in the Package

Construction of a fgmCopula Class Object

Generator Functions for Archimedean and Extreme-Value Copulas

Goodness-of-fit Testing for (Nested) Archimedean Copulas

Initial Interval or Value for Parameter Estimation of Archimedean Copulas

Class "acopula" of Archimedean Copula Families

Multivariate Distributions Constructed from Copulas

Test of Exchangeability for Certain Bivariate Copulas

Class "interval" of Simple Intervals

Construction of a Plackett Copula Class Object

Bivariate Test of Extreme-Value Dependence Based on Pickands' Dependence Function

Dependence Measures for Bivariate Copulas

Sample and Population Version of Blomqvist's Beta for Archimedean Copulas

The Empirical Copula

Computations for Graphical GOF Test via Pairwise Rosenblatt Transforms

Nonparametric Rank-based Estimators of the Pickands Dependence Function

Various Goodness-of-fit Test Statistics

Nesting Depth of a Nested Archimedean Copula ("nacopula")

Construction of Elliptical Copula Class Object

Maximum Likelihood Estimators for (Nested) Archimedean Copulas

Sibuya Distribution - Sampling and Probabilities

Polylogarithm $\mathrm{Li_s(z)}$ and Debye Functions

Specific Archimedean Copula Families ("acopula" Objects)

multSerialIndepTest

Serial Independence Test for Multivariate Continuous Time Series Based on the Empirical Copula Process

Methods for Function `persp' in Package `copula'

Estimation of Multivariate Models Defined via Copulas

Get "acopula" Family Object by Name

fgmCopula-class

Class "fgmCopula"

Independence Test Among Continuous Random Vectors Based on the Empirical Copula Process

Goodness-of-fit Test Statistics

Convert (Rho) Matrices to and From Parameter Vectors

Various Estimators for (Nested) Archimedean Copulas

Goodness-of-fit Tests for Copulas

Sampling Distribution F for Frank and Joe

Sample Univariate Distributions Involved in Nested Frank and Joe Copulas

Constructing (Outer) Nested Archimedean Copulas

Evaluation of (Nested) Archimedean Copulas

Random numbers from (Skew) Stable Distributions

Random nacopula Model

Estimation Procedures for (Nested) Archimedean Copulas

Sampling Exponentially Tilted Stable Distributions

Test Independence of Continuous Random Variables via Empirical Copula

Construct Simple "interval" Object

Cropping and Font Embedding PDF Device

All Components of a (Inner or Outer) Nested Archimedean Copula

Methods for `show' in Package `copula'

Minimum Distance Estimators for (Nested) Archimedean Copulas

LOSS and ALAE Insurance Data

Q-Q Plot with Rugs and Pointwise Asymptotic Confidence Intervals

Construction of Independence Copula Class Objects

ellipCopula-class

Class "ellipCopula"

Kendall Distribution Function for Archimedean Copulas

archmCopula-class

Class "archmCopula"

Absolute Value of Generator Derivatives via Monte Carlo

copula-internal

Internal Copula Functions

fitCopula-class

Classes of Fitted Multivariate Models: Copula, Mvdc

pairsRosenblatt

Plots for Graphical GOF Test via Pairwise Rosenblatt Transforms

Estimation of the Parameters in Copula Models

indepCopula-class

Class "indepCopula"

Goodness-of-fit Tests for Bivariate Extreme-Value Copulas

Compute f(a) = $\mathrm{log}$(1 +/- $\mathrm{exp}$(-a)) Numerically Optimally

Sampling Logarithmic Distributions

Distribution of the Radial Part of an Archimedean Copula

Sinc, Zolotarev's, and Other Mathematical Utility Functions

Large-sample Test of Multivariate Extreme-Value Dependence

Eulerian and Stirling Numbers of First and Second Kind

Class "nacopula" of Nested Archimedean Copulas

Pseudo-Observations

serialIndepTest

Serial Independence Test for Continuous Time Series Based on the Empirical Copula Process

Specify the Parameter(s) of a Copula

Print Compact Overview of a Nested Archimedean Copula ("nacopula")

Scatterplot Matrix (splom) with Nice Variable Names

Pairs Plot of a cu.u Object (Internal Use)

One-dimensional Root (Zero) Finding - Extra "Safety" for Convenience

Ali-Mikhail-Haq ("AMH")'s and Joe's Kendall's Tau

Uranium Exploration Dataset of Cook & Johnson (1986)

Goodness-of-fit Testing Transformations for (Nested) Archimedean Copulas

Density, Evaluation, and Random Number Generation for Copula Functions

Compute Bernoulli Numbers

Construction of Archimedean Copula Class Object

Daily Returns of Three Stocks in the Dow Jones

Sampling Child 'nacopula's

Conditional Copula Function

Test of Exchangeability for a Bivariate Copula

Timing for Sampling Frailties of Nested Archimedean Copulas

Pairwise Thetas of Nested Archimedean Copulas

Sampling Nested Archimedean Copulas

Density Evaluation for (Nested) Archimedean Copulas

Density of the Diagonal of (Nested) Archimedean Copulas

Evaluate Polynomials

Computing Probabilities of Hypercubes

Construction of Extreme-Value Copula Class Objects

Multivariate Dependence Modeling with Copulas