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copula (version 0.999-1)

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

0.999-1

License

GPL (>= 3)

Maintainer

Martin Maechler

Last Published

August 13th, 2012

Functions in copula (0.999-1)

Copula functions

Nonparametric rank-based estimators of Pickands dependence function

Dependence measures for copulas

Absolute value of generator derivatives via Monte Carlo

Construction of Archimedean copula class object

Sibuya distribution - sampling and probabilities

Construction of independence copula class objects

Class "acopula" of Archimedean copula families

Construction of elliptical copula class object

Bivariate test of extreme-value dependence based on the Pickands dependence function

multSerialIndepTest

Serial independence test for multivariate continuous time series based on the empirical copula process

Construction of extreme-value copula class objects

Multivariate distributions constructed from copulas

Test Independence of Continuous Random Variables via Empirical Copula

Computing probabilities of hypercubes

Estimation procedures for (nested) Archimedean copulas

Copula density evaluation

Construct simple "interval" object

serialIndepTest

Serial independence test for continuous time series based on the empirical copula process

Various estimators for (nested) Archimedean copulas

Sampling exponentially tilted stable distributions

fgmCopula-class

Class "fgmCopula"

Kendall distribution function for Archimedean copulas

Conditional copula function

Eulerian and Stirling numbers of first and second kind

Large-sample test of multivariate extreme-value dependence

Goodness-of-fit Tests for Copulas

Blomqvist's beta for Archimedean copula, sample and population

Density of the diagonal of (nested) Archimedean copulas

ellipCopula-class

Class "ellipCopula"

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

Constructing (outer) nested Archimedean copulas

Compute f(a) = $\mathrm{log}$(1 - $\mathrm{exp}$(-a)) numerically optimally

Evaluation of (Nested) Archimedean Copulas

copula-internal

Internal copula functions

Test of exchangeability for a bivariate copula

Independence test among continuous random vectors based on the empirical copula process

Maximum likelihood estimators for (nested) Archimedean copulas

Bivariate test of extreme-value dependence based on Kendall's process

Minimum distance estimators for (nested) Archimedean copulas

LOSS and ALAE Insurance Data

Estimation of multivariate models defined via copulas

Get "acopula" family object by name

Goodness-of-fit testing for (nested) Archimedean copulas

Scatterplot matrix (splom) with nice variable names

Construction of a fgmCopula class object

Specific Archimedean copula families ("acopula" objects)

Test of Exchangeability for Certain Bivariate Copulas

archmCopula-class

Class "archmCopula"

Classes Representing Extreme-Value Copulas

Pairwise thetas of nested Archimedean copula

Methods for function `persp' in package `copula'

Uranium exploration dataset of Cook & Johnson (1986)

Distribution of the Radial Part of an Archimedean Copula

Generator functions for Archimedean and extreme-value copulas

Initial interval or value for parameter estimation of Archimedean copulas

Timing for sampling nested Archimedean copulas

contour-methods

Methods for function `contour' in package `copula'

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

Daily Returns of Three Stocks in the Dow Jones

Pseudo-observations

Goodness-of-fit testing transformations for (nested) Archimedean copulas

Computes the empirical copula

Sampling logarithmic distributions

Evaluate polynomials

Class "nacopula" of nested Archimedean copulas

Outer power transformation of Archimedean copulas

Print compact overview of a nested Archimedean copula ("nacopula")

Estimation of the parameters in copula models

Sample univariate distributions involved in nested Frank and Joe copulas

Nesting depth of a nested Archimedean copula ("nacopula")

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

Conditional Copula Function

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

Goodness-of-fit Test Statistics

Computations for Graphical GOF Test via Pairwise Rosenblatt Transforms

indepCopula-class

Class "indepCopula"

Various Goodness-of-fit Test Statistics

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

Random nacopula Model

Sampling Child 'nacopula's

Random numbers from (skew) stable distributions

fitCopula-class

Classes of Fitted Multivariate Models: Copula, Mvdc

Convert (Rho) Matrices to and From Parameter Vectors

One dimensional root (zero) finding - extra "safety" for convenience

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

Cropping and Font Embedding PDF Device

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

Specify the Parameter(s) of a Copula

Compute Bernoulli Numbers

summary-methods

Methods for function `summary' in package `copula'

SMI Data -- 141 Days in Winter 2011/2012

Construction of a Plackett Copula Class Object

Sinc, Zolotarev's, and Other Mathematical Utility Functions

Class "interval" of Simple Intervals

pairsRosenblatt

Plots for Graphical GOF Test via Pairwise Rosenblatt Transforms

Sampling Distribution F for Frank and Joe

Methods for function `show' in package `copula'

Sampling Nested Archimedean Copulas

Q-Q Plot with Rugs and Pointwise Asymptotic Confidence Intervals

Timing for Sampling Frailties of Nested Archimedean Copulas

The Empirical Copula

Coefficients of Polynomial used for Gumbel Copula

Multivariate Dependence Modeling with Copulas