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copula (version 0.999-2)

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

12,864

Version

0.999-2

License

GPL (>= 3)

Maintainer

Martin Maechler

Last Published

October 25th, 2012

Functions in copula (0.999-2)

Maximum Likelihood Estimators for (Nested) Archimedean Copulas

fgmCopula-class

Class "fgmCopula"

Generator Functions for Archimedean and Extreme-Value Copulas

Computes the Empirical Copula

Density, Evaluation, and Random Number Generation for Copula Functions

Eulerian and Stirling Numbers of First and Second Kind

Construct Simple "interval" Object

Methods for Function `persp' in Package `copula'

Compute Bernoulli Numbers

Absolute Value of Generator Derivatives via Monte Carlo

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

ellipCopula-class

Class "ellipCopula"

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

Construction of Archimedean Copula Class Object

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

Class "nacopula" of Nested Archimedean Copulas

Goodness-of-fit Tests for Copulas

contour-methods

Methods for Function `contour' in Package `copula'

Evaluation of (Nested) Archimedean Copulas

archmCopula-class

Class "archmCopula"

Estimation of the Parameters in Copula Models

Sinc, Zolotarev's, and Other Mathematical Utility Functions

LOSS and ALAE Insurance Data

copula-internal

Internal Copula Functions

Construction of Independence Copula Class Objects

Pairwise Thetas of Nested Archimedean Copulas

Sibuya Distribution - Sampling and Probabilities

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

Test of Exchangeability for Certain Bivariate Copulas

Construction of Extreme-Value Copula Class Objects

Evaluate Polynomials

Specific Archimedean Copula Families ("acopula" Objects)

Various Estimators for (Nested) Archimedean Copulas

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

Large-sample Test of Multivariate Extreme-Value Dependence

Dependence Measures for Copulas

Conditional Copula Function

Sampling Child 'nacopula's

Methods for `show' in Package `copula'

Initial Interval or Value for Parameter Estimation of Archimedean Copulas

Classes Representing Extreme-Value Copulas

Specify the Parameter(s) of a Copula

Test Independence of Continuous Random Variables via Empirical Copula

Construction of Elliptical Copula Class Object

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

Density of the Diagonal of (Nested) Archimedean Copulas

Multivariate Distributions Constructed from Copulas

Sampling Logarithmic Distributions

multSerialIndepTest

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

serialIndepTest

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

Estimation of Multivariate Models Defined via Copulas

Class "interval" of Simple Intervals

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

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

Test of Exchangeability for a Bivariate Copula

Estimation Procedures for (Nested) Archimedean Copulas

Outer Power Transformation of Archimedean Copulas

Computing Probabilities of Hypercubes

Random nacopula Model

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

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

Get "acopula" Family Object by Name

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

Polylogarithm $\mathrm{Li_s(z)}$

Nonparametric Rank-based Estimators of the Pickands Dependence Function

Pseudo-Observations

Uranium Exploration Dataset of Cook & Johnson (1986)

Sampling Distribution F for Frank and Joe

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

Construction of a Plackett Copula Class Object

Class "acopula" of Archimedean Copula Families

Daily Returns of Three Stocks in the Dow Jones

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

Constructing (Outer) Nested Archimedean Copulas

Density Evaluation for (Nested) Archimedean Copulas

Construction of a fgmCopula Class Object

Scatterplot Matrix (splom) with Nice Variable Names

Kendall Distribution Function for Archimedean Copulas

Minimum Distance Estimators for (Nested) Archimedean Copulas

indepCopula-class

Class "indepCopula"

Sampling Exponentially Tilted Stable Distributions

Sample Univariate Distributions Involved in Nested Frank and Joe Copulas

Timing for Sampling Nested Archimedean Copulas

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

fitCopula-class

Classes of Fitted Multivariate Models: Copula, Mvdc

Sampling Nested Archimedean Copulas

Random numbers from (Skew) Stable Distributions

Multivariate Dependence Modeling with Copulas