The Rmetrics fCopulae package is a collection of functions to
manage, to investigate and to analyze bivariate financial returns by
Copulae. Included are the families of Archemedean, Elliptical,
Extreme Value, and Empirical Copulae.
The package fCoplae was written to explore and investigate
bivariate copulae and dependence structures.
This chapter contains functions for analysing and modeling Archemedean copulae.
Archimedean Copula Density, Probability and Random Numbers:
darchmCopula Computes Archimedean copula density
parchmCopula Computes Archimedean copula probability
rarchmCopula Generates Archimedean copula random variates
For the Gumbel Copula we have a fast implementation.
rgumbelCopula Generates fast gumbel random variates
dgumbelCopula Computes bivariate Gumbel copula density
pgumbelCopula Computes bivariate Gumbel copula probability
Archimedean Copula Dependency Structure:
archmTau Returns Kendall's tau for Archemedean copulae
archmRho Returns Spearman's rho for Archemedean copulae
archmTailCoeff Computes tail dependence for Archimedean copulae
archmTailPlot Plots Archimedean tail dependence function
Archimedean Copula Generator:
archmList Returns list of implemented Archimedean copulae
archmParam Sets Default parameters for an Archimedean copula
archmRange Returns the range of valid alpha values
archmCheck Checks if alpha is in the valid range
Phi Computes Archimedean Phi, inverse and derivatives
PhiSlider Displays interactively generator function
Kfunc Computes Archimedean Density Kc and its Inverse
KfuncSlider Displays interactively the density and concordance
Archemedean Copula Modeling:
archmCopulaSim Simulates bivariate elliptical copula
archmCopulaFit Fits the paramter of an elliptical copula
Archemedean Copula Slider:
darchmSlider Displays interactively archimedean density
parchmSlider Displays interactively Archimedean probability
rarchmSlider Displays interactively Archimedean probability
This chapter contains functions for analysing and modeling elliptical copulae.
Elliptical Copula Density, Probability and Random Numbers:
dellipticalCopula Computes elliptical copula density
pellipticalCopula Computes elliptical copula probability
rellipticalCopula Generates elliptical copula variates
Elliptical Copula Slider:
dellipticalSlider Generates interactive plots of density
pellipticalSlider Generates interactive plots of probability
rellipticalSlider Generates interactive plots of random variates
Elliptical Copula Dependency Structures:
ellipticalTau Computes Kendall's tau for elliptical copulae
ellipticalRho Computes Spearman's rho for elliptical copulae
ellipticalTailCoeff Computes tail dependence for elliptical copulae
ellipticalTailPlot Plots tail dependence function
Elliptical Copula Generator:
ellipticalList Returns list of implemented Elliptical copulae
ellipticalParam Sets default parameters for an elliptical copula
ellipticalRange Returns the range of valid rho values
ellipticalCheck Checks if rho is in the valid range
gfunc Generator function for elliptical distributions
gfuncSlider Slider for generator, density and probability
Elliptical Copula Modeling:
ellipticalCopulaSim Simulates bivariate elliptical copula
ellipticalCopulaFit Fits the paramter of an elliptical copula
This chapter contains functions for analysing and modeling extreme value copulae.
Extremem Value Copula Density, Probability and Random Numbers:
devCopula Computes extreme value copula density
pevCopula Computes extreme value copula probability
revCopula Generates extreme value copula random variates
devSlider Displays interactively plots of density
pevSlider Displays interactively plots of probability
revSlider isplays interactively plots of random variates
Extreme Value Copula Dependeny Structures:
evTau Returns Kendall's tau for extreme value copulae
evRho Returns Spearman's rho for extreme value copulae
evTailCoeff Computes tail dependence for extreme value copulae
evTailCoeffSlider Plots extreme value tail dependence function
Extreme Value Copula Generator:
evList Returns list of implemented extreme value copulae
evParam Sets Default parameters for an extreme value copula
evCheck Checks if parameters are in the valid range
evRange Returns the range of valid parameter values
Afunc Computes Dependence function
AfuncSlider Displays interactively dependence function
Extreme Value Copula Modeling:
evCopulaSim Simulates bivariate extreme value copula
evCopulaFit Fits the paramter of an extreme value copula
This chapter contains functions for analysing and modeling empirical copulae.
Empirical Copulae Density and Probability:
pempiricalCopula Computes empirical copula probability
dempiricalCopula Computes empirical copula density
The fCopulae Rmetrics package is written for educational
support in teaching "Computational Finance and Financial Engineering"
and licensed under the GPL.
| Package: | fCopulae |
| Type: | Package |
| Version: | R 3.0.1 |
| Date: | 2014 |
| License: | GPL Version 2 or later |
| Copyright: | (c) 1999-2014 Rmetrics Assiciation |
| URL: | https://www.rmetrics.org |