VineCopula: Statistical Inference of Vine Copulas

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.

Author
Ulf 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]
Date of publication
2016-09-26 13:36:50
Maintainer
Thomas Nagler <thomas.nagler@tum.de>
License
GPL (>= 2)
Version
2.0.5
URLs

View on CRAN

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
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

Files in this package

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