VineCopula: Statistical Inference of Vine Copulas

Provides tools for the statistical analysis of regular vine copula models, see Aas et al. (2009) <doi:10.1016/j.insmatheco.2007.02.001> and Dissman et al. (2013) <doi:10.1016/j.csda.2012.08.010>. 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.

Package details

AuthorThomas Nagler [aut, cre], Ulf Schepsmeier [aut], Jakob Stoeber [aut], Eike Christian Brechmann [aut], Benedikt Graeler [aut], 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]
MaintainerThomas Nagler <mail@tnagler.com>
LicenseGPL (>= 2)
Version2.4.3
URL https://github.com/tnagler/VineCopula
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("VineCopula")

Try the VineCopula package in your browser

Any scripts or data that you put into this service are public.

VineCopula documentation built on Oct. 7, 2021, 5:10 p.m.