Learn R Programming

⚠️There's a newer version (1.1-6) of this package.Take me there.

copula (version 0.999-18)

Multivariate Dependence with Copulas

Description

Classes (S4) of commonly used elliptical, Archimedean, extreme-value and other copula families, as well as their rotations, mixtures and asymmetrizations. Nested Archimedean copulas, related tools and special functions. Methods for density, distribution, random number generation, bivariate dependence measures, Rosenblatt transform, Kendall distribution function, perspective and contour plots. Fitting of copula models with potentially partly fixed parameters, including standard errors. Serial independence tests, copula specification tests (independence, exchangeability, radial symmetry, extreme-value dependence, goodness-of-fit) and model selection based on cross-validation. Empirical copula, smoothed versions, and non-parametric estimators of the Pickands dependence function.

Copy Link

Version

Install

install.packages('copula')

Monthly Downloads

10,705

Version

0.999-18

License

GPL (>= 3) | file LICENCE

Maintainer

Martin Maechler

Last Published

September 1st, 2017

Functions in copula (0.999-18)

Multivariate Distributions Constructed from Copulas

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

Nonparametric Rank-based Estimators of the Pickands Dependence Function

Compute Bernoulli Numbers

Density, Evaluation, and Random Number Generation for Copula Functions

Kendall Distribution Function for Archimedean Copulas

Eulerian and Stirling Numbers of First and Second Kind

Absolute Value of Generator Derivatives via Monte Carlo

SMI Data -- 141 Days in Winter 2011/2012

Sibuya Distribution - Sampling and Probabilities

Distribution of the Radial Part of an Archimedean Copula

Class "acopula" of Archimedean Copula Families

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

Conditional Distributions and Their Inverses from Copulas

Construction of Archimedean Copula Class Object

Dependence Measures for Bivariate Copulas

contour-methods

Methods for Contour Plots in Package 'copula'

contourplot2-methods

Contour Plot Methods 'contourplot2' in Package 'copula'

Cloud Plot Methods ('cloud2') in Package 'copula'

Coefficients of Polynomial used for Gumbel Copula

Various Estimators for (Nested) Archimedean Copulas

Classes Representing Extreme-Value Copulas

khoudrajiCopula-class

Class "khoudrajiCopula" and its Subclasses

khoudrajiCopula

Construction of copulas using Khoudraji's device

copula-internal

Internal Copula Functions

Copula (Short) Description as String

Density Evaluation for (Nested) Archimedean Copulas

fitCopula-class

Classes of Fitted Multivariate Models: Copula, Mvdc

Fitting Copulas to Data -- Copula Parameter Estimation

Large-sample Test of Multivariate Extreme-Value Dependence

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

Get the Parameter(s) of a Copula

Multivariate Dependence Modeling with Copulas

The Empirical Copula

Estimation Procedures for (Nested) Archimedean Copulas

Fix a Subset of a Copula Parameter Vector

Daily Crude Oil and Natural Gas Prices from 2003 to 2006

Class "interval" of Simple Intervals

Construct Simple "interval" Object

Computations for Graphical GOF Test via Pairwise Rosenblatt Transforms

Goodness-of-fit Test Statistics

GOF Testing Transformation of Hering and Hofert

Tools to Work with Matrices

mixCopula-class

Class "mixCopula" of Copula Mixtures

pairsRosenblatt

Plots for Graphical GOF Test via Pairwise Rosenblatt Transforms

Methods for Function `persp' in Package `copula'

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

Evaluate Polynomials

Marginal copula of a Copula With Specified Margins

Sinc, Zolotarev's, and Other Mathematical Utility Functions

Class "nacopula" of Nested Archimedean Copulas

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

Evaluation of (Nested) Archimedean Copulas

Daily Returns of Three Stocks in the Dow Jones

Sampling Exponentially Tilted Stable Distributions

Uranium Exploration Dataset of Cook & Johnson (1986)

varianceReduction

Variance-Reduction Methods

Pseudo-Observations

Sampling Distribution F for Frank and Joe

Test of Exchangeability for a Bivariate Copula

wireframe2-methods

Perspective Plots - 'wireframe2' in Package 'copula'

Model (copula) selection based on k-fold cross-validation

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

(Fast) Computation of Pairwise Kendall's Taus

Density of the Diagonal of (Nested) Archimedean Copulas

Minimum Distance Estimators for (Nested) Archimedean Copulas

Maximum Likelihood Estimators for (Nested) Archimedean Copulas

Specific Archimedean Copula Families ("acopula" Objects)

Mother Classes "Copula", etc of all Copulas in the Package

ellipCopula-class

Class "ellipCopula" of Elliptical Copulas

Construction of Elliptical Copula Class Objects

fgmCopula-class

Class "fgmCopula"

archmCopula-class

Class "archmCopula"

Construction of a fgmCopula Class Object

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

Goodness-of-fit Tests for Copulas

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

Test of Exchangeability for Certain Bivariate Copulas

Test of Exchangeability for a Bivariate Copula

Non-parametric Estimators of the Matrix of Tail-Dependence Coefficients

Various Goodness-of-fit Test Statistics

multSerialIndepTest

Serial Independence Test for Multivariate Time Series via Empirical Copula

Pairwise Thetas of Nested Archimedean Copulas

Estimation of Multivariate Models Defined via Copulas

indepCopula-class

Class "indepCopula"

Construction of Independence Copula Class Objects

Construction of Extreme-Value Copula Objects

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

Generator Functions for Archimedean and Extreme-Value Copulas

Get "acopula" Family Object by Name

Timing for Sampling Frailties of Nested Archimedean Copulas

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

Computing Probabilities of Hypercubes

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

LOSS and ALAE Insurance Data

Scatter-Plot Matrix ('pairs') for Copula Distributions with Nice Defaults

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

Sampling Nested Archimedean Copulas

Sampling Child 'nacopula's

Methods for Scatter Plot Matrix 'splom2' in Package 'copula'

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

Test Independence of Continuous Random Variables via Empirical Copula

Initial Interval or Value for Parameter Estimation of Archimedean Copulas

Create Mixture of Copulas

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

Constructing (Outer) Nested Archimedean Copulas

Outer Power Transformation of Archimedean Copulas

Construction of a Plackett Copula Class Object

Methods for 'plot' in Package 'copula'

Sampling Logarithmic Distributions

Random nacopula Model

Specify the Parameter(s) of a Copula

Methods for 'show()' in Package 'copula'

Q-Q Plot with Rugs and Pointwise Asymptotic Confidence Intervals

Sample Univariate Distributions Involved in Nested Frank and Joe Copulas

Construction and Class of Rotated aka Reflected Copulas

Random numbers from (Skew) Stable Distributions

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

serialIndepTest

Serial Independence Test for Continuous Time Series Via Empirical Copula