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copula (version 0.999-4)

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

0.999-4

License

GPL (>= 3)

Maintainer

Martin Maechler

Last Published

November 16th, 2012

Functions in copula (0.999-4)

Construction of a fgmCopula Class Object

Test of Exchangeability for a Bivariate Copula

Absolute Value of Generator Derivatives via Monte Carlo

contour-methods

Methods for Function `contour' in Package `copula'

Class "acopula" of Archimedean Copula Families

Estimation of Multivariate Models Defined via Copulas

Conditional Copula Function

Sinc, Zolotarev's, and Other Mathematical Utility Functions

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

Specific Archimedean Copula Families ("acopula" Objects)

Compute Bernoulli Numbers

Pairwise Thetas of Nested Archimedean Copulas

fitCopula-class

Classes of Fitted Multivariate Models: Copula, Mvdc

Test Independence of Continuous Random Variables via Empirical Copula

Density of the Diagonal of (Nested) Archimedean Copulas

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

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

Construction of Elliptical Copula Class Object

Construction of Extreme-Value Copula Class Objects

Minimum Distance Estimators for (Nested) Archimedean Copulas

Sampling Child 'nacopula's

Timing for Sampling Nested Archimedean Copulas

Sample Univariate Distributions Involved in Nested Frank and Joe Copulas

Random numbers from (Skew) Stable Distributions

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

Daily Returns of Three Stocks in the Dow Jones

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

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

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

Classes Representing Extreme-Value Copulas

Scatterplot Matrix (splom) with Nice Variable Names

ellipCopula-class

Class "ellipCopula"

Nonparametric Rank-based Estimators of the Pickands Dependence Function

Goodness-of-fit Tests for Copulas

Density, Evaluation, and Random Number Generation for Copula Functions

Construction of a Plackett Copula Class Object

fgmCopula-class

Class "fgmCopula"

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

Construct Simple "interval" Object

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

Test of Exchangeability for Certain Bivariate Copulas

LOSS and ALAE Insurance Data

Uranium Exploration Dataset of Cook & Johnson (1986)

Sampling Nested Archimedean Copulas

Methods for `show' in Package `copula'

Large-sample Test of Multivariate Extreme-Value Dependence

Maximum Likelihood Estimators for (Nested) Archimedean Copulas

Class "interval" of Simple Intervals

copula-internal

Internal Copula Functions

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

Various Estimators for (Nested) Archimedean Copulas

archmCopula-class

Class "archmCopula"

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

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

Random nacopula Model

Sampling Exponentially Tilted Stable Distributions

Sampling Logarithmic Distributions

Density Evaluation for (Nested) Archimedean Copulas

Computing Probabilities of Hypercubes

Evaluate Polynomials

Initial Interval or Value for Parameter Estimation of Archimedean Copulas

Dependence Measures for Copulas

Pseudo-Observations

Eulerian and Stirling Numbers of First and Second Kind

Computes the Empirical Copula

Evaluation of (Nested) Archimedean Copulas

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

serialIndepTest

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

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

Construction of Independence Copula Class Objects

Sibuya Distribution - Sampling and Probabilities

Estimation Procedures for (Nested) Archimedean Copulas

Outer Power Transformation of Archimedean Copulas

multSerialIndepTest

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

Polylogarithm $\mathrm{Li_s(z)}$

Generator Functions for Archimedean and Extreme-Value Copulas

Methods for Function `persp' in Package `copula'

Specify the Parameter(s) of a Copula

Sampling Distribution F for Frank and Joe

Multivariate Distributions Constructed from Copulas

Class "nacopula" of Nested Archimedean Copulas

Constructing (Outer) Nested Archimedean Copulas

Kendall Distribution Function for Archimedean Copulas

Construction of Archimedean Copula Class Object

Get "acopula" Family Object by Name

indepCopula-class

Class "indepCopula"

Estimation of the Parameters in Copula Models

Multivariate Dependence Modeling with Copulas