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copula (version 0.999-9)

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

54,481

Version

0.999-9

License

GPL (>= 3) | file LICENCE

Maintainer

Martin Maechler

Last Published

May 5th, 2014

Functions in copula (0.999-9)

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

ellipCopula-class

Class "ellipCopula"

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

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

Class "nacopula" of Nested Archimedean Copulas

Convert (Rho) Matrices to and From Parameter Vectors

Construction of Extreme-Value Copula Class Objects

Nonparametric Rank-based Estimators of the Pickands Dependence Function

Distribution of the Radial Part of an Archimedean Copula

Classes Representing Extreme-Value Copulas

Dependence Measures for Bivariate Copulas

Maximum Likelihood Estimators for (Nested) Archimedean Copulas

fitCopula-class

Classes of Fitted Multivariate Models: Copula, Mvdc

Kendall Distribution Function for Archimedean Copulas

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

Eulerian and Stirling Numbers of First and Second Kind

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

copula-internal

Internal Copula Functions

Construction of Archimedean Copula Class Object

Class "acopula" of Archimedean Copula Families

fgmCopula-class

Class "fgmCopula"

LOSS and ALAE Insurance Data

Specific Archimedean Copula Families ("acopula" Objects)

indepCopula-class

Class "indepCopula"

Density of the Diagonal of (Nested) Archimedean Copulas

Conditional Copula Function

Compute Bernoulli Numbers

multSerialIndepTest

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

The Empirical Copula

archmCopula-class

Class "archmCopula"

Multivariate Distributions Constructed from Copulas

Absolute Value of Generator Derivatives via Monte Carlo

Large-sample Test of Multivariate Extreme-Value Dependence

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

Construct Simple "interval" Object

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

Various Estimators for (Nested) Archimedean Copulas

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

Goodness-of-fit Tests for Copulas

Construction of a fgmCopula Class Object

Pairwise Thetas of Nested Archimedean Copulas

Get "acopula" Family Object by Name

Density Evaluation for (Nested) Archimedean Copulas

Generator Functions for Archimedean and Extreme-Value Copulas

Construction of Elliptical Copula Class Object

Test Independence of Continuous Random Variables via Empirical Copula

Test of Exchangeability for Certain Bivariate Copulas

SMI Data -- 141 Days in Winter 2011/2012

Evaluation of (Nested) Archimedean Copulas

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

Cropping and Font Embedding PDF Device

Minimum Distance Estimators for (Nested) Archimedean Copulas

serialIndepTest

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

Q-Q Plot with Rugs and Pointwise Asymptotic Confidence Intervals

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

Sampling Child 'nacopula's

Estimation of the Parameters in Copula Models

Density, Evaluation, and Random Number Generation for Copula Functions

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

Sinc, Zolotarev's, and Other Mathematical Utility Functions

contour-methods

Methods for Function `contour' in Package `copula'

Construction of Independence Copula Class Objects

Initial Interval or Value for Parameter Estimation of Archimedean Copulas

Timing for Sampling Frailties of Nested Archimedean Copulas

Class "interval" of Simple Intervals

Constructing (Outer) Nested Archimedean Copulas

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

Methods for Function `persp' in Package `copula'

Sibuya Distribution - Sampling and Probabilities

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

Sampling Nested Archimedean Copulas

Daily Returns of Three Stocks in the Dow Jones

Sampling Distribution F for Frank and Joe

Sample Univariate Distributions Involved in Nested Frank and Joe Copulas

Estimation of Multivariate Models Defined via Copulas

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

Construction of a Plackett Copula Class Object

Scatterplot Matrix (splom) with Nice Variable Names

Goodness-of-fit Test Statistics

Estimation Procedures for (Nested) Archimedean Copulas

Various Goodness-of-fit Test Statistics

Methods for `show' in Package `copula'

Specify the Parameter(s) of a Copula

Random nacopula Model

Computations for Graphical GOF Test via Pairwise Rosenblatt Transforms

Outer Power Transformation of Archimedean Copulas

Evaluate Polynomials

Sampling Logarithmic Distributions

Random numbers from (Skew) Stable Distributions

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

Uranium Exploration Dataset of Cook & Johnson (1986)

Pseudo-Observations

Sampling Exponentially Tilted Stable Distributions

Test of Exchangeability for a Bivariate Copula

Polylogarithm $\mathrm{Li_s(z)}$

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

pairsRosenblatt

Plots for Graphical GOF Test via Pairwise Rosenblatt Transforms

Computing Probabilities of Hypercubes

Multivariate Dependence Modeling with Copulas