VineCopula: Statistical Inference of Vine Copulas
Version 2.1.2

Provides tools for the statistical analysis of vine copula models. The package includes tools for parameter estimation, model selection, simulation, goodness-of-fit tests, and visualization. Tools for estimation, selection and exploratory data analysis of bivariate copula models are also provided.

AuthorUlf Schepsmeier [aut], Jakob Stoeber [aut], Eike Christian Brechmann [aut], Benedikt Graeler [aut], Thomas Nagler [aut, cre], Tobias Erhardt [aut], Carlos Almeida [ctb], Aleksey Min [ctb, ths], Claudia Czado [ctb, ths], Mathias Hofmann [ctb], Matthias Killiches [ctb], Harry Joe [ctb], Thibault Vatter [ctb]
Date of publication2017-04-25 06:03:34 UTC
MaintainerThomas Nagler <thomas.nagler@tum.de>
LicenseGPL (>= 2)
Version2.1.2
URL https://github.com/tnagler/VineCopula
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("VineCopula")

Getting started

Package overview
README.md

Popular man pages

BiCopGofTest: Goodness-of-Fit Test for Bivariate Copulas
BiCopPar2Tau: Kendall's Tau Value of a Bivariate Copula
BiCopSim: Simulation from a Bivariate Copula
pobs: Pseudo-Observations
RVineGofTest: Goodness-of-Fit Tests for R-Vine Copula Models
RVineMatrix: R-Vine Copula Model in Matrix Notation
RVineSim: Simulation from an R-Vine Copula Model
See all...

All man pages Function index File listing

Man pages

as.copuladata: Copula Data Objects
BB1Copula: Constructor of the BB1 Family and Rotated Versions thereof
BB1Copula-class: Classes '"BB1Copula"', '"surBB1Copula"', '"r90BB1Copula"' and...
BB6Copula: Constructor of the BB6 Family and Rotated Versions thereof
BB6Copula-class: Classes '"BB6Copula"', '"surBB6Copula"', '"r90BB6Copula"' and...
BB7Copula: Constructor of the BB7 Family and Rotated Versions thereof
BB7Copula-class: Classes '"BB7Copula"', '"surBB7Copula"', '"r90BB7Copula"' and...
BB8Copula: Constructor of the BB8 Family and Rotated Versions thereof
BB8Copula-class: Classes '"BB8Copula"', '"surBB8Copula"', '"r90BB8Copula"' and...
BetaMatrix: Matrix of Empirical Blomqvist's Beta Values
BiCop: Constructing BiCop-objects
BiCopCDF: Distribution Function of a Bivariate Copula
BiCopCheck: Check for family/parameter consistency in bivariate copula...
BiCopChiPlot: Chi-plot for Bivariate Copula Data
BiCopCompare: Shiny app for bivariate copula selection
BiCopCondSim: Conditional simulation from a Bivariate Copula
BiCopDeriv: Derivatives of a Bivariate Copula Density
BiCopDeriv2: Second Derivatives of a Bivariate Copula Density
BiCopEst: Parameter Estimation for Bivariate Copula Data
BiCopEstList: List of Maximum Likelihood Estimates for Several Bivariate...
BiCopGofTest: Goodness-of-Fit Test for Bivariate Copulas
BiCopHfunc: Conditional Distribution Function of a Bivariate Copula
BiCopHfuncDeriv: Derivatives of the h-Function of a Bivariate Copula
BiCopHfuncDeriv2: Second Derivatives of the h-Function of a Bivariate Copula
BiCopHinv: Inverse Conditional Distribution Function of a Bivariate...
BiCopIndTest: Independence Test for Bivariate Copula Data
BiCopKDE: Kernel estimate of a Bivariate Copula Density
BiCopKPlot: Kendall's Plot for Bivariate Copula Data
BiCopLambda: Lambda-Function (Plot) for Bivariate Copula Data
BiCopMetaContour: Contour Plot of Bivariate Meta Distribution
BiCopName: Bivariate Copula Family Names
BiCopPar2Beta: Blomqvist's Beta Value of a Bivariate Copula
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...
C2RVine: Transform C-Vine to R-Vine Structure
copulaFromFamilyIndex: Construction of a Copula Object from a VineCopula Family...
D2RVine: Transform D-Vine to R-Vine Structure
daxreturns: Major German Stocks
ddCopula: Partial Derivatives of Copulas
joeBiCopula: Constructor of the Joe Family and Rotated Versions thereof
joeBiCopula-class: Classes '"joeBiCopula"', '"surJoeBiCopula"',...
pairs.copuladata: Pairs Plot of Copula Data
plot.BiCop: Plotting tools for BiCop objects
plot.RVineMatrix: Plotting 'RVineMatrix' objects.
pobs: Pseudo-Observations
RVineAIC: AIC and BIC of an R-Vine Copula Model
RVineClarkeTest: Clarke Test Comparing Two R-Vine Copula Models
RVineCopSelect: Sequential Pair-Copula Selection and Estimation for R-Vine...
RVineCor2pcor: (Partial) Correlations for R-Vine Copula Models
RVineGofTest: Goodness-of-Fit Tests for R-Vine Copula Models
RVineGrad: Gradient of the Log-Likelihood of an R-Vine Copula Model
RVineHessian: Hessian Matrix of the Log-Likelihood of an R-Vine Copula...
RVineLogLik: Log-Likelihood of an R-Vine Copula Model
RVineMatrix: R-Vine Copula Model in Matrix Notation
RVineMatrixCheck: R-Vine Matrix Check
RVineMatrixNormalize: Normalization of R-Vine Matrix
RVineMatrixSample: Randomv sampling of R-Vine matices
RVineMLE: Maximum Likelihood Estimation of an R-Vine Copula Model
RVinePar2Beta: Blomqvist's Beta Values of an R-Vine Copula Model
RVinePar2Tau: Kendall's Tau Values of an R-Vine Copula Model
RVinePDF: PDF of an R-Vine Copula Model
RVinePIT: Probability Integral Transformation for R-Vine Copula Models
RVineSeqEst: Sequential Estimation of an R-Vine Copula Model
RVineSim: Simulation from an R-Vine Copula Model
RVineStdError: Standard Errors of an R-Vine Copula Model
RVineStructureSelect: Sequential Specification of R- and C-Vine Copula Models
RVineTreePlot: Visualisation of R-Vine Tree Structure
RVineVuongTest: Vuong Test Comparing Two R-Vine Copula Models
surClaytonCopula: Survival and Rotated Clayton Copulas
surClaytonCopula-class: Classes '"surClaytonCopula"', '"r90ClaytonCopula"' and...
surGumbelCopula: Survival and Rotated Gumbel Copulas
surGumbelCopula-class: Classes '"surGumbelCopula"', '"r90GumbelCopula"' and...
TauMatrix: Matrix of Empirical Kendall's Tau Values
tawnT1Copula: Constructor of the Tawn Type 1 Family and Rotated Versions...
tawnT1Copula-class: Class '"tawnT1Copula"'
tawnT2Copula: Constructor of the Tawn Type 2 Family and Rotated Versions...
tawnT2Copula-class: Class '"tawnT2Copula"'
vineCopula: Constructor of the Class 'vineCopula'.
vineCopula-class: Class '"vineCopula"'
VineCopula-package: Statistical Inference of Vine Copulas

Functions

Files

inst
inst/include
inst/include/rvinederiv.h
inst/include/deriv.h
inst/include/rvinederiv2.h
inst/include/pit.h
inst/include/tools.h
inst/include/tcopuladeriv.h
inst/include/gof.h
inst/include/memoryhandling.h
inst/include/deriv2.h
inst/include/condsim.h
inst/include/hfunc.h
inst/include/vine.h
inst/include/evCopula.h
inst/include/rvine.h
inst/include/incompleteBeta.h
inst/include/tcopuladeriv_new.h
inst/include/likelihood.h
inst/include/logderiv.h
inst/include/cdvine.h
tests
tests/additonalExampleRuns.R
src
src/Makevars
src/gof.c
src/deriv2.c
src/rvinesample.c
src/cdvine.c
src/hfuncderiv2.c
src/condsim.c
src/rvine.c
src/hfuncderiv.c
src/tcopuladeriv.c
src/evCopula.c
src/hfunc.c
src/likelihood.c
src/rvinederiv.c
src/rvinederiv2.c
src/tools.c
src/memoryhandling.c
src/pit.c
src/Makevars.win
src/init.c
src/deriv.c
src/incompleteBeta.c
src/logderiv.c
src/tcopuladeriv_new.c
NAMESPACE
NEWS.md
data
data/daxreturns.RData
R
R/vineCopulas.R
R/RVineHessian.R
R/preprocessors.R
R/RVinePar2Tau.R
R/RVineStructureSelect.R
R/BiCopHinv.R
R/ChatZj.R
R/BiCopChiPlot.R
R/BiCopEst.R
R/BiCopTau2Par.R
R/BiCopDeriv.R
R/BiCopIndTest.R
R/BiCopSelect.R
R/RVineGofTest3.R
R/RVineClarkeTest.R
R/BiCopMetaContour.R
R/BiCopHfuncDeriv.R
R/gof_PIT.R
R/RVineCopSelect.R
R/CvM.R
R/BB6copula.R
R/BB1copula.R
R/BiCopPar2Beta.R
R/RVineSim.R
R/BiCopName.R
R/BiCopCDF.R
R/BiCopPar2Tau.R
R/BiCopVuongClarke.R
R/KS.R
R/BiCopEstList.R
R/RVineStdError.R
R/BiCopCompare.R
R/plot.RVineMatrix.R
R/D2RVine.R
R/pobs.R
R/BiCopPDF.R
R/BiCopHfuncDeriv2.R
R/BiCopPar2TailDep.R
R/BiCopCheck.R
R/RVineTreePlot.R
R/BiCopLambda.R
R/RVineVuongTest.R
R/BiCopSim.R
R/C2RVine.R
R/RVinePIT.R
R/RVineAIC.R
R/BB7copula.R
R/BiCopKDE.R
R/RVineMatrixSample.R
R/RVinePartialcorr.R
R/as.copuladata.R
R/tawnCopula.R
R/joeBiCopula.R
R/TauMatrix.R
R/BetaMatrix.R
R/RVineMatrix.R
R/BiCopHfunc.R
R/plot.BiCop.R
R/VineCopula-package.R
R/RVineGrad.R
R/0_prep_object.R
R/RVinePar2Beta.R
R/BiCop.R
R/AD.R
R/BiCopCondSim.R
R/Fhat.R
R/RVineLogLik.R
R/ClaytonGumbelCopula.R
R/contour.RVineMatrix.R
R/zzz.R
R/RVineSeqEst.R
R/BiCopDeriv2.R
R/gof_ECP.R
R/gof_White.R
R/BB8copula.R
R/RVineMLE.R
R/pairs.R
R/BiCopGofTest.R
README.md
MD5
DESCRIPTION
man
man/VineCopula-package.Rd
man/BiCopIndTest.Rd
man/surGumbelCopula.Rd
man/TauMatrix.Rd
man/RVineClarkeTest.Rd
man/D2RVine.Rd
man/BB7Copula.Rd
man/surClaytonCopula.Rd
man/BiCopDeriv2.Rd
man/BiCopPar2Beta.Rd
man/RVineHessian.Rd
man/ddCopula.Rd
man/BiCopCondSim.Rd
man/BiCopVuongClarke.Rd
man/plot.RVineMatrix.Rd
man/pairs.copuladata.Rd
man/BiCopHinv.Rd
man/BB8Copula-class.Rd
man/vineCopula-class.Rd
man/RVineSim.Rd
man/BB6Copula-class.Rd
man/RVineMLE.Rd
man/joeBiCopula.Rd
man/vineCopula.Rd
man/BiCopPar2TailDep.Rd
man/BiCopSelect.Rd
man/tawnT1Copula.Rd
man/BiCopPDF.Rd
man/RVineSeqEst.Rd
man/surGumbelCopula-class.Rd
man/RVineTreePlot.Rd
man/RVinePar2Beta.Rd
man/BetaMatrix.Rd
man/C2RVine.Rd
man/tawnT2Copula.Rd
man/as.copuladata.Rd
man/BiCopTau2Par.Rd
man/BiCopKDE.Rd
man/RVineStdError.Rd
man/RVinePar2Tau.Rd
man/BB1Copula-class.Rd
man/BiCopPar2Tau.Rd
man/BiCopDeriv.Rd
man/pobs.Rd
man/BiCopGofTest.Rd
man/RVineLogLik.Rd
man/BiCopMetaContour.Rd
man/BiCopHfunc.Rd
man/BiCopHfuncDeriv2.Rd
man/surClaytonCopula-class.Rd
man/RVineMatrixSample.Rd
man/RVineAIC.Rd
man/BiCopChiPlot.Rd
man/RVineMatrixCheck.Rd
man/RVineCopSelect.Rd
man/RVineMatrixNormalize.Rd
man/BiCopHfuncDeriv.Rd
man/BiCopEstList.Rd
man/BiCopCompare.Rd
man/BiCopSim.Rd
man/BiCopKPlot.Rd
man/daxreturns.Rd
man/RVineGrad.Rd
man/BiCopLambda.Rd
man/RVineStructureSelect.Rd
man/BiCopEst.Rd
man/plot.BiCop.Rd
man/BiCopCheck.Rd
man/BB8Copula.Rd
man/RVineMatrix.Rd
man/BB1Copula.Rd
man/BiCopName.Rd
man/RVineVuongTest.Rd
man/RVinePDF.Rd
man/BiCop.Rd
man/RVineCor2pcor.Rd
man/tawnT1Copula-class.Rd
man/tawnT2Copula-class.Rd
man/RVinePIT.Rd
man/BiCopCDF.Rd
man/copulaFromFamilyIndex.Rd
man/joeBiCopula-class.Rd
man/BB6Copula.Rd
man/RVineGofTest.Rd
man/BB7Copula-class.Rd
VineCopula documentation built on May 19, 2017, 10:46 p.m.

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