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

Share:

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).

Author
Ulf Schepsmeier, Eike Christian Brechmann
Date of publication
2015-10-29 13:03:16
Maintainer
Tobias Erhardt <tobias.erhardt@tum.de>
License
GPL (>= 2)
Version
1.4

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