CDVine: Statistical Inference of C- And D-Vine Copulas
Version 1.4

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).

Browse man pages Browse package API and functions Browse package files

AuthorUlf Schepsmeier, Eike Christian Brechmann
Date of publication2015-10-29 13:03:16
MaintainerTobias Erhardt <tobias.erhardt@tum.de>
LicenseGPL (>= 2)
Version1.4
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("CDVine")

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

Functions

BiCopCDF Man page Source code
BiCopChiPlot Man page Source code
BiCopEst Man page Source code
BiCopGofKendall Man page Source code
BiCopHfunc Man page Source code
BiCopIndTest Man page Source code
BiCopKPlot Man page Source code
BiCopLambda Man page Source code
BiCopMetaContour Man page Source code
BiCopName Man page Source code
BiCopPDF Man page Source code
BiCopPar2TailDep Man page Source code
BiCopPar2Tau Man page Source code
BiCopSelect Man page Source code
BiCopSim Man page Source code
BiCopTau2Par Man page Source code
BiCopVuongClarke Man page Source code
CDVine Man page
CDVine-package Man page
CDVineAIC Man page Source code
CDVineBIC Man page Source code
CDVineClarkeTest Man page Source code
CDVineCopSelect Man page Source code
CDVineLogLik Man page Source code
CDVineMLE Man page Source code
CDVinePar2Tau Man page Source code
CDVineSeqEst Man page Source code
CDVineSim Man page Source code
CDVineTreePlot Man page Source code
CDVineVuongTest Man page Source code
Frank.itau.JJ Source code
H Source code
Joe.itau.JJ Source code
LogLikelihood Source code Source code
MLE_intern Source code
W Source code
bb6pdf Source code
boot.stat Source code
clarke.test Source code
cop.cdf Source code
cop.pdf Source code
createMaxMat Source code
fasttau Source code
gen Source code
gen.drv Source code
gen.drv2 Source code
gen.inv Source code
gtLambda Source code
kurtosis Source code
meta.dens Source code
my.loglik Source code
neededCondDistr Source code
node_names2 Source code
normalizeDv Source code
obs.stat Source code
onAttach Source code
reorderDv Source code
score Source code
trafo1 Source code
trafo2 Source code
trafo2der Source code
vuong.clarke.sim Source code
vuong.test Source code
worldindices Man page

Files

inst
inst/CITATION
inst/ChangeLog
src
src/cdvine.c
src/condsim.c
src/vine.h
src/hfunc.c
src/likelihood.c
src/tools.c
src/memoryhandling.c
NAMESPACE
data
data/worldindices.RData
R
R/BiCopCDF.r
R/CDVineMLE.R
R/CDVineAIC.R
R/BiCopEst.R
R/BiCopGofKendall.r
R/CDVineVuongTest.r
R/CDVineSeqEst.R
R/CDVineClarkeTest.r
R/CDVineLogLik.R
R/BiCopPar2Tau.r
R/BiCopIndTest.r
R/BiCopPDF.r
R/CDVineTreePlot.R
R/BiCopTau2Par.r
R/BiCopChiPlot.r
R/BiCopSim.R
R/CDVineCopSelect.R
R/CDVineSim.R
R/BiCopVuongClarke.r
R/BiCopSelect.r
R/BiCopMetaContour.r
R/BiCopHfunc.r
R/BiCopPar2TailDep.r
R/BiCopName.r
R/zzz.R
R/BiCopLambda.r
R/CDVinePar2Tau.r
MD5
DESCRIPTION
man
man/BiCopIndTest.Rd
man/CDVineCopSelect.Rd
man/CDVineMLE.Rd
man/BiCopVuongClarke.Rd
man/CDVineAICBIC.Rd
man/BiCopPar2TailDep.Rd
man/BiCopSelect.Rd
man/BiCopPDF.Rd
man/CDVineVuongTest.Rd
man/CDVineTreePlot.Rd
man/BiCopTau2Par.Rd
man/worldindices.Rd
man/CDVineLogLik.Rd
man/CDVineSim.Rd
man/BiCopPar2Tau.Rd
man/CDVineClarkeTest.Rd
man/BiCopMetaContour.Rd
man/BiCopHfunc.Rd
man/CDVineSeqEst.Rd
man/BiCopChiPlot.Rd
man/BiCopSim.Rd
man/BiCopKPlot.Rd
man/BiCopLambda.Rd
man/BiCopEst.Rd
man/BiCopName.Rd
man/CDVinePar2Tau.Rd
man/CDVine-package.Rd
man/BiCopCDF.Rd
man/BiCopGofKendall.Rd
CDVine documentation built on May 19, 2017, 10:35 p.m.