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copula (version 0.999-13)

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. Empirical copula and multivariate CDF. 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

0.999-13

License

GPL (>= 3) | file LICENCE

Maintainer

Martin Maechler

Last Published

March 5th, 2015

Functions in copula (0.999-13)

Construction of a fgmCopula Class Object

Sibuya Distribution - Sampling and Probabilities

Cropping and Font Embedding PDF Device

Generator Functions for Archimedean and Extreme-Value Copulas

SMI Data -- 141 Days in Winter 2011/2012

Various Estimators for (Nested) Archimedean Copulas

Kendall Distribution Function for Archimedean Copulas

Estimation of Multivariate Models Defined via Copulas

Random numbers from (Skew) Stable Distributions

Methods for `show' in Package `copula'

archmCopula-class

Class "archmCopula"

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

Maximum Likelihood Estimators for (Nested) Archimedean Copulas

Density of the Diagonal of (Nested) Archimedean Copulas

Goodness-of-fit Tests for Copulas

Construction of Archimedean Copula Class Object

Sampling Nested Archimedean Copulas

Pseudo-Observations

The Empirical Copula

Timing for Sampling Frailties of Nested Archimedean Copulas

Absolute Value of Generator Derivatives via Monte Carlo

Specific Archimedean Copula Families ("acopula" Objects)

Get "acopula" Family Object by Name

Construction of Extreme-Value Copula Class Objects

serialIndepTest

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

GOF Testing Transformations for Archimedean Copulas

Evaluation of (Nested) Archimedean Copulas

Eulerian and Stirling Numbers of First and Second Kind

contour-methods

Methods for Function 'contour' in Package 'copula'

Compute Bernoulli Numbers

Uranium Exploration Dataset of Cook & Johnson (1986)

Estimation of the Parameters in Copula Models

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

Convert (Rho) Matrices to and From Parameter Vectors

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

Nonparametric Rank-based Estimators of the Pickands Dependence Function

copula-internal

Internal Copula Functions

Constructing (Outer) Nested Archimedean Copulas

Estimation Procedures for (Nested) Archimedean Copulas

Conditional Copula Function

Methods for Function `persp' in Package `copula'

Density Evaluation for (Nested) Archimedean Copulas

Density, Evaluation, and Random Number Generation for Copula Functions

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

Classes Representing Extreme-Value Copulas

Sampling Distribution F for Frank and Joe

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

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

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

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

fitCopula-class

Classes of Fitted Multivariate Models: Copula, Mvdc

Goodness-of-fit Test Statistics

Large-sample Test of Multivariate Extreme-Value Dependence

Initial Interval or Value for Parameter Estimation of Archimedean Copulas

indepCopula-class

Class "indepCopula"

Sampling Child 'nacopula's

Dependence Measures for Bivariate Copulas

Various Goodness-of-fit Test Statistics

Distribution of the Radial Part of an Archimedean Copula

pairsRosenblatt

Plots for Graphical GOF Test via Pairwise Rosenblatt Transforms

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

LOSS and ALAE Insurance Data

Test Independence of Continuous Random Variables via Empirical Copula

Test of Exchangeability for Certain Bivariate Copulas

Multivariate Distributions Constructed from Copulas

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

ellipCopula-class

Class "ellipCopula"

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

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

Sample Univariate Distributions Involved in Nested Frank and Joe Copulas

Minimum Distance Estimators for (Nested) Archimedean Copulas

Sinc, Zolotarev's, and Other Mathematical Utility Functions

Construction of Elliptical Copula Class Object

Computations for Graphical GOF Test via Pairwise Rosenblatt Transforms

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

Class "nacopula" of Nested Archimedean Copulas

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

Q-Q Plot with Rugs and Pointwise Asymptotic Confidence Intervals

Daily Returns of Three Stocks in the Dow Jones

Sampling Exponentially Tilted Stable Distributions

Pairwise Thetas of Nested Archimedean Copulas

Sampling Logarithmic Distributions

multSerialIndepTest

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

Construct Simple "interval" Object

fgmCopula-class

Class "fgmCopula"

Construction of Independence Copula Class Objects

Class "acopula" of Archimedean Copula Families

Evaluate Polynomials

Scatterplot Matrix (splom) with Nice Variable Names

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

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

Test of Exchangeability for a Bivariate Copula

Class "interval" of Simple Intervals

Construction of a Plackett Copula Class Object

Random nacopula Model

Outer Power Transformation of Archimedean Copulas

Computing Probabilities of Hypercubes

Specify the Parameter(s) of a Copula

Multivariate Dependence Modeling with Copulas