CDVine: Statistical Inference of C- And D-Vine Copulas

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).

AuthorUlf Schepsmeier, Eike Christian Brechmann
Date of publication2015-10-29 13:03:16
MaintainerTobias Erhardt <tobias.erhardt@tum.de>
LicenseGPL (>= 2)
Version1.4

View on CRAN

Man pages

BiCopCDF: Distribution function of a bivariate copula

BiCopChiPlot: Chi-plot for bivariate copula data

BiCopEst: Parameter estimation for bivariate copula data using...

BiCopGofKendall: Goodness-of-fit test based on Kendall's process for bivariate...

BiCopHfunc: Conditional distribution function (h-function) of a bivariate...

BiCopIndTest: Independence test for bivariate copula data

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

BiCopLambda: Lambda-function (plot) for bivariate copula data

BiCopMetaContour: Contour plot of bivariate meta distribution with different...

BiCopName: Bivariate copula family names

BiCopPar2TailDep: Tail dependence coefficients of a bivariate copula

BiCopPar2Tau: Kendall's tau value of a bivariate copula

BiCopPDF: Density of a bivariate copula

BiCopSelect: Selection and maximum likelihood estimation of bivariate...

BiCopSim: Simulation from a bivariate copula

BiCopTau2Par: Parameter of a bivariate copula for a given Kendall's tau...

BiCopVuongClarke: Scoring goodness-of-fit test based on Vuong and Clarke tests...

CDVineAICBIC: AIC and BIC of C- and D-vine copula models

CDVineClarkeTest: Clarke test comparing two vine copula models

CDVineCopSelect: Sequential copula selection and estimation of C- and D-vine...

CDVineLogLik: Log-likelihood of C- and D-vine copula models

CDVineMLE: Maximum likelihood estimation of C- and D-vine copula models

CDVine-package: Statistical inference of C- and D-vine copulas

CDVinePar2Tau: Kendall's tau values of a vine copula model

CDVineSeqEst: Sequential estimation of C- and D-vine copula models

CDVineSim: Simulation from C- and D-vine copula models

CDVineTreePlot: Plot function for C- or D-vine trees

CDVineVuongTest: Vuong test comparing two vine copula models

worldindices: Major World Indices

Files in this package

CDVine
CDVine/inst
CDVine/inst/CITATION
CDVine/inst/ChangeLog
CDVine/src
CDVine/src/cdvine.c
CDVine/src/condsim.c
CDVine/src/vine.h
CDVine/src/hfunc.c
CDVine/src/likelihood.c
CDVine/src/tools.c
CDVine/src/memoryhandling.c
CDVine/NAMESPACE
CDVine/data
CDVine/data/worldindices.RData
CDVine/R
CDVine/R/BiCopCDF.r
CDVine/R/CDVineMLE.R CDVine/R/CDVineAIC.R CDVine/R/BiCopEst.R
CDVine/R/BiCopGofKendall.r
CDVine/R/CDVineVuongTest.r
CDVine/R/CDVineSeqEst.R
CDVine/R/CDVineClarkeTest.r
CDVine/R/CDVineLogLik.R
CDVine/R/BiCopPar2Tau.r
CDVine/R/BiCopIndTest.r
CDVine/R/BiCopPDF.r
CDVine/R/CDVineTreePlot.R
CDVine/R/BiCopTau2Par.r
CDVine/R/BiCopChiPlot.r
CDVine/R/BiCopSim.R CDVine/R/CDVineCopSelect.R CDVine/R/CDVineSim.R
CDVine/R/BiCopVuongClarke.r
CDVine/R/BiCopSelect.r
CDVine/R/BiCopMetaContour.r
CDVine/R/BiCopHfunc.r
CDVine/R/BiCopPar2TailDep.r
CDVine/R/BiCopName.r
CDVine/R/zzz.R
CDVine/R/BiCopLambda.r
CDVine/R/CDVinePar2Tau.r
CDVine/MD5
CDVine/DESCRIPTION
CDVine/man
CDVine/man/BiCopIndTest.Rd CDVine/man/CDVineCopSelect.Rd CDVine/man/CDVineMLE.Rd CDVine/man/BiCopVuongClarke.Rd CDVine/man/CDVineAICBIC.Rd CDVine/man/BiCopPar2TailDep.Rd CDVine/man/BiCopSelect.Rd CDVine/man/BiCopPDF.Rd CDVine/man/CDVineVuongTest.Rd CDVine/man/CDVineTreePlot.Rd CDVine/man/BiCopTau2Par.Rd CDVine/man/worldindices.Rd CDVine/man/CDVineLogLik.Rd CDVine/man/CDVineSim.Rd CDVine/man/BiCopPar2Tau.Rd CDVine/man/CDVineClarkeTest.Rd CDVine/man/BiCopMetaContour.Rd CDVine/man/BiCopHfunc.Rd CDVine/man/CDVineSeqEst.Rd CDVine/man/BiCopChiPlot.Rd CDVine/man/BiCopSim.Rd CDVine/man/BiCopKPlot.Rd CDVine/man/BiCopLambda.Rd CDVine/man/BiCopEst.Rd CDVine/man/BiCopName.Rd CDVine/man/CDVinePar2Tau.Rd CDVine/man/CDVine-package.Rd CDVine/man/BiCopCDF.Rd CDVine/man/BiCopGofKendall.Rd

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

All documentation is copyright its authors; we didn't write any of that.