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 <firstname.lastname@example.org>|
|License||GPL (>= 2)|
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