VC2copula extends the copula package with families and models from VineCopula. This functionality was previously part of VineCopula, but is now provided as a stand-alone version.
You can install the released version of VC2copula from CRAN with
install.packages("VC2copula")
and the development version with
devtools::install_github("tnagler/VC2copula")
The package exposes classes for all BB- and Tawn families implemented in VineCopula, including their rotations. Additionally, rotated versions of the Clayton and Gumbel copula families are exposed.
cop <- BB1Copula(c(1, 1.5))
dCopula(c(0.5, 0.5), cop)
plot(rCopula(500, cop))
"BB1Copula"
, "surBB1Copula"
, "r90BB1Copula"
, "r270BB1Copula"
"BB6Copula"
, "surBB6Copula"
, "r90BB6Copula"
, "r270BB6Copula"
"BB7Copula"
, "surBB7Copula"
, "r90BB7Copula"
, "r270BB7Copula"
"BB8Copula"
, "surBB8Copula"
, "r90BB8Copula"
, "r270BB8Copula"
"surClaytonCopula"
, "r90ClaytonCopula"
, "r270ClaytonCopula"
"surGumbelCopula"
, "r90GumbelCopula"
, "r270GumbelCopula"
"joeBiCopula"
, "surJoeBiCopula"
, "r90JoeBiCopula"
, "r270JoeBiCopula"
"tawnT1Copula"
, "surTawnT1Copula"
, "r90TawnT1Copula"
, "r270TawnT1Copula"
"tawnT2Copula"
, "surTawnT2Copula"
, "r90TawnT2Copula"
, "r270TawnT2Copula"
There is one more class vineCopula
for vine copula models. You can convert
RVineMatrix
objects for the VineCopula package or fit new models using only
the copula API:
data("daxreturns", package = "VineCopula")
pairs(daxreturns[, 1:4])
vine <- vineCopula(as.integer(4))
fit <- fitCopula(vine, daxreturns[, 1:4])
pairs(rCopula(500, fit@copula))
For a full overview of functions and classes, see the package website.
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