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copula (version 0.999-15)

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

0.999-15

License

GPL (>= 3) | file LICENCE

Maintainer

Martin Maechler

Last Published

September 24th, 2016

Functions in copula (0.999-15)

khoudrajiCopula-class

Class "khoudrajiCopula" and its Subclasses

Class "acopula" of Archimedean Copula Families

khoudrajiCopula

Construction of copulas using Khoudraji's device

Absolute Value of Generator Derivatives via Monte Carlo

Construction of Archimedean Copula Class Object

archmCopula-class

Class "archmCopula"

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

Dependence Measures for Bivariate Copulas

Nonparametric Rank-based Estimators of the Pickands Dependence Function

Distribution of the Radial Part of an Archimedean Copula

Cloud Plot Methods ('cloud2') in Package 'copula'

Conditional Copula Function and Its Inverse

contourplot2-methods

Contour Plot Methods 'contourplot2' in Package 'copula'

copula-internal

Internal Copula Functions

Mother Classes "Copula", etc of all Copulas in the Package

contour-methods

Methods for Contour Plots in Package 'copula'

Compute Bernoulli Numbers

Coefficients of Polynomial used for Gumbel Copula

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

Specific Archimedean Copula Families ("acopula" Objects)

Construction of Elliptical Copula Class Objects

Minimum Distance Estimators for (Nested) Archimedean Copulas

Estimation Procedures for (Nested) Archimedean Copulas

Various Estimators for (Nested) Archimedean Copulas

ellipCopula-class

Class "ellipCopula" of Elliptical Copulas

Density Evaluation for (Nested) Archimedean Copulas

Maximum Likelihood Estimators for (Nested) Archimedean Copulas

Density, Evaluation, and Random Number Generation for Copula Functions

The Empirical Copula

Density of the Diagonal of (Nested) Archimedean Copulas

Test of Exchangeability for a Bivariate Copula

Construction of a fgmCopula Class Object

fgmCopula-class

Class "fgmCopula"

fitCopula-class

Classes of Fitted Multivariate Models: Copula, Mvdc

Construction of Extreme-Value Copula Class Objects

Classes Representing Extreme-Value Copulas

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

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

Large-sample Test of Multivariate Extreme-Value Dependence

Test of Exchangeability for Certain Bivariate Copulas

Daily Crude Oil and Natural Gas Prices from 2003 to 2006

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

Goodness-of-fit Tests for Copulas

Estimation of Multivariate Models Defined via Copulas

Fitting Copulas to Data -- Copula Parameter Estimation

Fix a Subset of a Copula Parameter Vector

Generator Functions for Archimedean and Extreme-Value Copulas

Computations for Graphical GOF Test via Pairwise Rosenblatt Transforms

Get "acopula" Family Object by Name

Non-parametric Estimators of the Matrix of Tail-Dependence Coefficients

Construct Simple "interval" Object

Test Independence of Continuous Random Variables via Empirical Copula

indepCopula-class

Class "indepCopula"

Construction of Independence Copula Class Objects

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

Class "interval" of Simple Intervals

Initial Interval or Value for Parameter Estimation of Archimedean Copulas

Goodness-of-fit Test Statistics

Various Goodness-of-fit Test Statistics

GOF Testing Transformation of Hering and Hofert

LOSS and ALAE Insurance Data

Sinc, Zolotarev's, and Other Mathematical Utility Functions

Tools to Work with Matrices

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

multSerialIndepTest

Serial Independence Test for Multivariate Time Series via Empirical Copula

Pairwise Thetas of Nested Archimedean Copulas

Class "nacopula" of Nested Archimedean Copulas

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

Kendall Distribution Function for Archimedean Copulas

Constructing (Outer) Nested Archimedean Copulas

Outer Power Transformation of Archimedean Copulas

pairsRosenblatt

Plots for Graphical GOF Test via Pairwise Rosenblatt Transforms

Q-Q Plot with Rugs and Pointwise Asymptotic Confidence Intervals

Methods for Function `persp' in Package `copula'

Daily Returns of Three Stocks in the Dow Jones

Sampling Logarithmic Distributions

Sampling Distribution F for Frank and Joe

Eulerian and Stirling Numbers of First and Second Kind

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

Evaluation of (Nested) Archimedean Copulas

Pseudo-Observations

serialIndepTest

Serial Independence Test for Continuous Time Series Via Empirical Copula

Specify the Parameter(s) of a Copula

Model (copula) selection based on k-fold cross-validation

Timing for Sampling Frailties of Nested Archimedean Copulas

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

Sample Univariate Distributions Involved in Nested Frank and Joe Copulas

Sampling Exponentially Tilted Stable Distributions

Construction and Class of "Rotated" Copulas

Sampling Child 'nacopula's

Uranium Exploration Dataset of Cook & Johnson (1986)

wireframe2-methods

Perspective Plots - 'wireframe2' in Package 'copula'

Construction of a Plackett Copula Class Object

Computing Probabilities of Hypercubes

Methods for 'plot' in Package 'copula'

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

Sampling Nested Archimedean Copulas

Methods for Scatter Plot Matrix 'splom2' in Package 'copula'

SMI Data -- 141 Days in Winter 2011/2012

Random nacopula Model

Scatter-Plot Matrix ('pairs') for Copula Distributions with Nice Defaults

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

Polylogarithm $Li_s(z)$ and Debye Functions

Evaluate Polynomials

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

Methods for `show' in Package `copula'

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

Sibuya Distribution - Sampling and Probabilities