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copula (version 0.999-5)

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. 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

8,213

Version

0.999-5

License

GPL (>= 3)

Maintainer

Martin Maechler

Last Published

December 3rd, 2012

Functions in copula (0.999-5)

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

Test of Exchangeability for a Bivariate Copula

Sibuya Distribution - Sampling and Probabilities

Various Estimators for (Nested) Archimedean Copulas

Absolute Value of Generator Derivatives via Monte Carlo

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

Goodness-of-fit Tests for Copulas

Computes the Empirical Copula

Compute Bernoulli Numbers

Construction of a fgmCopula Class Object

Generator Functions for Archimedean and Extreme-Value Copulas

Estimation Procedures for (Nested) Archimedean Copulas

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

Class "acopula" of Archimedean Copula Families

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

multSerialIndepTest

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

Large-sample Test of Multivariate Extreme-Value Dependence

fitCopula-class

Classes of Fitted Multivariate Models: Copula, Mvdc

Density Evaluation for (Nested) Archimedean Copulas

copula-internal

Internal Copula Functions

Construction of Extreme-Value Copula Class Objects

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

indepCopula-class

Class "indepCopula"

Test of Exchangeability for Certain Bivariate Copulas

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

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

Estimation of the Parameters in Copula Models

SMI Data -- 141 Days in Winter 2011/2012

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

archmCopula-class

Class "archmCopula"

Test Independence of Continuous Random Variables via Empirical Copula

Multivariate Distributions Constructed from Copulas

Methods for Function `persp' in Package `copula'

Construction of Elliptical Copula Class Object

Construction of Independence Copula Class Objects

Density of the Diagonal of (Nested) Archimedean Copulas

Class "interval" of Simple Intervals

LOSS and ALAE Insurance Data

Conditional Copula Function

Initial Interval or Value for Parameter Estimation of Archimedean Copulas

Minimum Distance Estimators for (Nested) Archimedean Copulas

Kendall Distribution Function for Archimedean Copulas

Class "nacopula" of Nested Archimedean Copulas

Sinc, Zolotarev's, and Other Mathematical Utility Functions

ellipCopula-class

Class "ellipCopula"

Maximum Likelihood Estimators for (Nested) Archimedean Copulas

Constructing (Outer) Nested Archimedean Copulas

Dependence Measures for Copulas

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

fgmCopula-class

Class "fgmCopula"

Classes Representing Extreme-Value Copulas

Density, Evaluation, and Random Number Generation for Copula Functions

Get "acopula" Family Object by Name

contour-methods

Methods for Function `contour' in Package `copula'

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

Polylogarithm $\mathrm{Li_s(z)}$

Outer Power Transformation of Archimedean Copulas

Sampling Nested Archimedean Copulas

Nonparametric Rank-based Estimators of the Pickands Dependence Function

Evaluate Polynomials

Construction of a Plackett Copula Class Object

Pseudo-Observations

Daily Returns of Three Stocks in the Dow Jones

Pairwise Thetas of Nested Archimedean Copulas

Specific Archimedean Copula Families ("acopula" Objects)

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

Methods for `show' in Package `copula'

Sampling Distribution F for Frank and Joe

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

Scatterplot Matrix (splom) with Nice Variable Names

serialIndepTest

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

Uranium Exploration Dataset of Cook & Johnson (1986)

Sampling Child 'nacopula's

Sampling Logarithmic Distributions

Specify the Parameter(s) of a Copula

Estimation of Multivariate Models Defined via Copulas

Sample Univariate Distributions Involved in Nested Frank and Joe Copulas

Sampling Exponentially Tilted Stable Distributions

Computing Probabilities of Hypercubes

Random nacopula Model

Timing for Sampling Frailties of Nested Archimedean Copulas

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

Construction of Archimedean Copula Class Object

Construct Simple "interval" Object

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

Evaluation of (Nested) Archimedean Copulas

Eulerian and Stirling Numbers of First and Second Kind

Random numbers from (Skew) Stable Distributions

Multivariate Dependence Modeling with Copulas