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CDVine (version 1.4)

Statistical Inference of C- And D-Vine Copulas

Description

Functions for statistical inference of canonical vine (C-vine) and D-vine copulas. Tools for bivariate exploratory data analysis and for bivariate as well as vine copula selection are provided. Models can be estimated either sequentially or by joint maximum likelihood estimation. Sampling algorithms and plotting methods are also included. Data is assumed to lie in the unit hypercube (so-called copula data).

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Version

Install

install.packages('CDVine')

Monthly Downloads

235

Version

1.4

License

GPL (>= 2)

Maintainer

Tobias Erhardt

Last Published

October 29th, 2015

Functions in CDVine (1.4)

CDVineSim

Simulation from C- and D-vine copula models
BiCopPar2TailDep

Tail dependence coefficients of a bivariate copula
BiCopSim

Simulation from a bivariate copula
BiCopName

Bivariate copula family names
BiCopEst

Parameter estimation for bivariate copula data using inversion of Kendall's tau or maximum likelihood estimation
BiCopGofKendall

Goodness-of-fit test based on Kendall's process for bivariate copula data
BiCopChiPlot

Chi-plot for bivariate copula data
BiCopHfunc

Conditional distribution function (h-function) of a bivariate copula
CDVineLogLik

Log-likelihood of C- and D-vine copula models
BiCopSelect

Selection and maximum likelihood estimation of bivariate copula families
BiCopMetaContour

Contour plot of bivariate meta distribution with different margins and copula (theoretical and empirical)
CDVineTreePlot

Plot function for C- or D-vine trees
CDVineCopSelect

Sequential copula selection and estimation of C- and D-vine copula models
BiCopIndTest

Independence test for bivariate copula data
BiCopCDF

Distribution function of a bivariate copula
CDVinePar2Tau

Kendall's tau values of a vine copula model
BiCopKPlot

Kendall's plot (K-plot) for bivariate copula data
CDVineSeqEst

Sequential estimation of C- and D-vine copula models
BiCopTau2Par

Parameter of a bivariate copula for a given Kendall's tau value
worldindices

Major World Indices
CDVine-package

Statistical inference of C- and D-vine copulas
CDVineAIC-BIC

AIC and BIC of C- and D-vine copula models
BiCopVuongClarke

Scoring goodness-of-fit test based on Vuong and Clarke tests for bivariate copula data
BiCopPar2Tau

Kendall's tau value of a bivariate copula
CDVineClarkeTest

Clarke test comparing two vine copula models
BiCopPDF

Density of a bivariate copula
CDVineMLE

Maximum likelihood estimation of C- and D-vine copula models
BiCopLambda

Lambda-function (plot) for bivariate copula data
CDVineVuongTest

Vuong test comparing two vine copula models