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copula (version 0.999-14)

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

0.999-14

License

GPL (>= 3) | file LICENCE

Maintainer

Martin Maechler

Last Published

October 26th, 2015

Functions in copula (0.999-14)

Density Evaluation for (Nested) Archimedean Copulas

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

Nonparametric Rank-based Estimators of the Pickands Dependence Function

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

SMI Data -- 141 Days in Winter 2011/2012

Eulerian and Stirling Numbers of First and Second Kind

Construction of Elliptical Copula Class Object

Construction of Extreme-Value Copula Class Objects

Construction of a fgmCopula Class Object

Absolute Value of Generator Derivatives via Monte Carlo

Coefficients of Polynomial used for Gumbel Copula

Test Independence of Continuous Random Variables via Empirical Copula

indepCopula-class

Class "indepCopula"

The Empirical Copula

Constructing (Outer) Nested Archimedean Copulas

Dependence Measures for Bivariate Copulas

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

Conditional Copula Function

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

Multivariate Distributions Constructed from Copulas

Construction of a Plackett Copula Class Object

Pairwise Thetas of Nested Archimedean Copulas

Goodness-of-fit Tests for Copulas

Density of the Diagonal of (Nested) Archimedean Copulas

Methods for `show' in Package `copula'

Goodness-of-fit Test Statistics

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

Random numbers from (Skew) Stable Distributions

ellipCopula-class

Class "ellipCopula"

Convert (Rho) Matrices to and From Parameter Vectors

Outer Power Transformation of Archimedean Copulas

Estimation Procedures for (Nested) Archimedean Copulas

Estimation of Multivariate Models Defined via Copulas

Sampling Child 'nacopula's

Scatterplot Matrix (splom) with Nice Variable Names

Kendall Distribution Function for Archimedean Copulas

pairsRosenblatt

Plots for Graphical GOF Test via Pairwise Rosenblatt Transforms

Methods for Function `persp' in Package `copula'

Computations for Graphical GOF Test via Pairwise Rosenblatt Transforms

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

fitCopula-class

Classes of Fitted Multivariate Models: Copula, Mvdc

Large-sample Test of Multivariate Extreme-Value Dependence

Construction of Independence Copula Class Objects

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

Evaluation of (Nested) Archimedean Copulas

Class "interval" of Simple Intervals

Construction of Archimedean Copula Class Object

Sampling Nested Archimedean Copulas

Sampling Distribution F for Frank and Joe

Density, Evaluation, and Random Number Generation for Copula Functions

Classes Representing Extreme-Value Copulas

fgmCopula-class

Class "fgmCopula"

Distribution of the Radial Part of an Archimedean Copula

Class "acopula" of Archimedean Copula Families

Generator Functions for Archimedean and Extreme-Value Copulas

Construct Simple "interval" Object

Test of Exchangeability for a Bivariate Copula

Daily Returns of Three Stocks in the Dow Jones

multSerialIndepTest

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

Pseudo-Observations

Various Goodness-of-fit Test Statistics

Compute Bernoulli Numbers

Get "acopula" Family Object by Name

Specify the Parameter(s) of a Copula

Minimum Distance Estimators for (Nested) Archimedean Copulas

Timing for Sampling Frailties of Nested Archimedean Copulas

Sample Univariate Distributions Involved in Nested Frank and Joe Copulas

Test of Exchangeability for Certain Bivariate Copulas

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

Polylogarithm $Li_s(z)$ and Debye Functions

Computing Probabilities of Hypercubes

Sibuya Distribution - Sampling and Probabilities

Evaluate Polynomials

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

Sampling Logarithmic Distributions

LOSS and ALAE Insurance Data

copula-internal

Internal Copula Functions

Initial Interval or Value for Parameter Estimation of Archimedean Copulas

archmCopula-class

Class "archmCopula"

contour-methods

Methods for Contour Plots in Package 'copula'

Sampling Exponentially Tilted Stable Distributions

Random nacopula Model

Compute f(a) = $log$(1 +/- $exp$(-a)) Numerically Optimally

Sinc, Zolotarev's, and Other Mathematical Utility Functions

Class "nacopula" of Nested Archimedean Copulas

Uranium Exploration Dataset of Cook & Johnson (1986)

serialIndepTest

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

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

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

GOF Testing Transformations for Archimedean Copulas

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

Q-Q Plot with Rugs and Pointwise Asymptotic Confidence Intervals

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

Specific Archimedean Copula Families ("acopula" Objects)

Maximum Likelihood Estimators for (Nested) Archimedean Copulas

Various Estimators for (Nested) Archimedean Copulas

Estimation of the Parameters in Copula Models

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

Multivariate Dependence Modeling with Copulas