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copula (version 0.999-7)

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

0.999-7

License

GPL (>= 3) | file LICENCE

Maintainer

Martin Maechler

Last Published

May 21st, 2013

Functions in copula (0.999-7)

Absolute Value of Generator Derivatives via Monte Carlo

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

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

Conditional Copula Function

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

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

Sample Univariate Distributions Involved in Nested Frank and Joe Copulas

Initial Interval or Value for Parameter Estimation of Archimedean Copulas

Evaluate Polynomials

Multivariate Distributions Constructed from Copulas

Dependence Measures for Copulas

Class "interval" of Simple Intervals

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

indepCopula-class

Class "indepCopula"

Various Goodness-of-fit Test Statistics

Construction of Extreme-Value Copula Class Objects

serialIndepTest

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

Sampling Distribution F for Frank and Joe

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

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

Construction of Independence Copula Class Objects

Density, Evaluation, and Random Number Generation for Copula Functions

multSerialIndepTest

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

Get "acopula" Family Object by Name

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

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

Minimum Distance Estimators for (Nested) Archimedean Copulas

Test of Exchangeability for Certain Bivariate Copulas

Eulerian and Stirling Numbers of First and Second Kind

Q-Q Plot with Rugs and Pointwise Asymptotic Confidence Intervals

contour-methods

Methods for Function `contour' in Package `copula'

archmCopula-class

Class "archmCopula"

Computing Probabilities of Hypercubes

Generator Functions for Archimedean and Extreme-Value Copulas

Scatterplot Matrix (splom) with Nice Variable Names

Density Evaluation for (Nested) Archimedean Copulas

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

Constructing (Outer) Nested Archimedean Copulas

Compute Bernoulli Numbers

pairsRosenblatt

Plots for Graphical GOF Test via Pairwise Rosenblatt Transforms

Methods for Function `persp' in Package `copula'

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

Maximum Likelihood Estimators for (Nested) Archimedean Copulas

Distribution of the Radial Part of an Archimedean Copula

Random numbers from (Skew) Stable Distributions

Uranium Exploration Dataset of Cook & Johnson (1986)

Sampling Logarithmic Distributions

Methods for `show' in Package `copula'

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

Classes Representing Extreme-Value Copulas

Estimation Procedures for (Nested) Archimedean Copulas

Class "nacopula" of Nested Archimedean Copulas

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

Estimation of the Parameters in Copula Models

Specify the Parameter(s) of a Copula

LOSS and ALAE Insurance Data

Construction of Elliptical Copula Class Object

Goodness-of-fit Tests for Copulas

Class "acopula" of Archimedean Copula Families

Test of Exchangeability for a Bivariate Copula

Pseudo-Observations

Outer Power Transformation of Archimedean Copulas

Estimation of Multivariate Models Defined via Copulas

Sibuya Distribution - Sampling and Probabilities

fgmCopula-class

Class "fgmCopula"

Large-sample Test of Multivariate Extreme-Value Dependence

Construction of Archimedean Copula Class Object

Density of the Diagonal of (Nested) Archimedean Copulas

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

Sampling Nested Archimedean Copulas

Specific Archimedean Copula Families ("acopula" Objects)

Sampling Exponentially Tilted Stable Distributions

copula-internal

Internal Copula Functions

Timing for Sampling Frailties of Nested Archimedean Copulas

Various Estimators for (Nested) Archimedean Copulas

Construction of a fgmCopula Class Object

Goodness-of-fit Test Statistics

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

Construct Simple "interval" Object

Evaluation of (Nested) Archimedean Copulas

Daily Returns of Three Stocks in the Dow Jones

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

Sinc, Zolotarev's, and Other Mathematical Utility Functions

Convert (Rho) Matrices to and From Parameter Vectors

fitCopula-class

Classes of Fitted Multivariate Models: Copula, Mvdc

The Empirical Copula

Pairwise Thetas of Nested Archimedean Copulas

Kendall Distribution Function for Archimedean Copulas

Polylogarithm $\mathrm{Li_s(z)}$

Test Independence of Continuous Random Variables via Empirical Copula

Construction of a Plackett Copula Class Object

Nonparametric Rank-based Estimators of the Pickands Dependence Function

SMI Data -- 141 Days in Winter 2011/2012

ellipCopula-class

Class "ellipCopula"

Sampling Child 'nacopula's

Random nacopula Model

Computations for Graphical GOF Test via Pairwise Rosenblatt Transforms

Multivariate Dependence Modeling with Copulas