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.

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 publication2017-01-11 17:13:15
MaintainerThomas Nagler <thomas.nagler@tum.de>
LicenseGPL (>= 2)
Version2.1.1
https://github.com/tnagler/VineCopula

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

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

Files in this package

VineCopula
VineCopula/inst
VineCopula/inst/include
VineCopula/inst/include/rvinederiv.h
VineCopula/inst/include/deriv.h
VineCopula/inst/include/rvinederiv2.h
VineCopula/inst/include/pit.h
VineCopula/inst/include/tools.h
VineCopula/inst/include/tcopuladeriv.h
VineCopula/inst/include/gof.h
VineCopula/inst/include/memoryhandling.h
VineCopula/inst/include/deriv2.h
VineCopula/inst/include/condsim.h
VineCopula/inst/include/hfunc.h
VineCopula/inst/include/vine.h
VineCopula/inst/include/evCopula.h
VineCopula/inst/include/rvine.h
VineCopula/inst/include/incompleteBeta.h
VineCopula/inst/include/tcopuladeriv_new.h
VineCopula/inst/include/likelihood.h
VineCopula/inst/include/logderiv.h
VineCopula/inst/include/cdvine.h
VineCopula/tests
VineCopula/tests/additonalExampleRuns.R
VineCopula/src
VineCopula/src/Makevars
VineCopula/src/gof.c
VineCopula/src/deriv2.c
VineCopula/src/rvinesample.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/Makevars.win
VineCopula/src/deriv.c
VineCopula/src/incompleteBeta.c
VineCopula/src/logderiv.c
VineCopula/src/tcopuladeriv_new.c
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/RVineMatrixSample.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/RVineMatrixSample.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

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