copBasic: General Bivariate Copula Theory and Many Utility Functions

Extensive functions for bivariate copula (bicopula) computations and related operations concerning oft cited bicopula theory described by Nelsen (2006), Joe (2014), and other selected works. The lower, upper, product, and select other bicopula are implemented. Individual copula support is deliberately limited to keep the package focused on an API to bicopula theory. Arbitrary bicopula expressions include the diagonal, survival copula, the dual of a copula, co-copula, numerical bicopula density, and maximum likelihood estimation. Level curves/sets, horizontal/vertical sections also are supported. Numerical derivatives and inverses of a bicopula are provided; simulation by the conditional distribution method thus is supported. Bicopula Ccomposition, convex combination, and products are provided. Support extends to Kendall Function and L-moments thereof, Kendall Tau, Spearman Rho and Footrule, Gini Gamma, Blomqvist Beta, Hoeffding Phi, Schweizer-Wolff Sigma, tail dependency (including pseudo-polar representation) and tail order, skewness, and bivariate L-moments. Evaluators of positively/negatively quadrant dependency, left(right)-tail decreasing(increasing) are available. Kullback-Leibler divergence, Vuong's procedure, Spectral Measure, and L-comoments for copula inference are available. Quantile and median regressions for V with respect to U and U with respect to V are available. Empirical copulas (EC) are supported.

AuthorWilliam Asquith
Date of publication2016-06-03 18:52:40
MaintainerWilliam Asquith <william.asquith@ttu.edu>
LicenseGPL-2
Version2.0.4

View on CRAN

Man pages

asCOP: A Wrapper on a User-Level Formula to Become a Copula Function

bilmoms: Bivariate L-moments and L-comoments of a Copula

blomCOP: The Blomqvist's Beta of a Copula

coCOP: The Co-Copula Function

composite1COP: Composition of a Single Symmetric Copula with Two Compositing...

composite2COP: Composition of Two Copulas with Two Compositing Parameters

composite3COP: (Extended) Composition of Two Copulas with Four Compositing...

convex2COP: Convex Combination of Two Copulas

COP: The Copula

copBasic.fitpara: A Single or Multi-Parameter Optimization Engine (Beta...

copBasic-package: Basic Theoretical Copula, Empirical Copula, and Various...

COPinv: The Inverse of a Copula for V with respect to U

COPinv2: The Inverse of a Copula for U with respect to V

densityCOP: Density of a Copula

densityCOPplot: Contour Density Plot of a Copula

derCOP: Numerical Derivative of a Copula for V with respect to U

derCOP2: Numerical Derivative of a Copula for U with respect to V

derCOPinv: Numerical Derivative Inverse of a Copula for V with respect...

derCOPinv2: Numerical Derivative Inverse of a Copula for U with respect...

diagCOP: The Diagonals of a Copula

diagCOPatf: Numerical Rooting the Diagonal of a Copula

duCOP: The Dual of a Copula Function

EMPIRcop: The Bivariate Empirical Copula

EMPIRcopdf: Dataframe of the Bivariate Emprical Copula

EMPIRgrid: Grid of the Bivariate Emprical Copula

EMPIRgridder: Derivatives of the Grid of the Bivariate Emprical Copula for...

EMPIRgridder2: Derivatives of the Grid of the Bivariate Emprical Copula for...

EMPIRgridderinv: Derivative Inverses of the Grid of the Bivariate Emprical...

EMPIRgridderinv2: Derivative Inverses of the Grid of the Bivariate Emprical...

EMPIRmed.regress: Median Regression of the Grid of the Bivariate Emprical...

EMPIRmed.regress2: Median Regression of the Grid of the Bivariate Emprical...

EMPIRqua.regress: Quantile Regression of the Grid of the Bivariate Emprical...

EMPIRqua.regress2: Quantile Regression of the Grid of the Bivariate Emprical...

EMPIRsim: Simulate a Bivariate Empirical Copula

EMPIRsimv: Simulate a Bivariate Empirical Copula For a Fixed Value of U

footCOP: The Spearman's Footrule of a Copula

FRECHETcop: The Fréchet Family Copula

GHcop: The Gumbel-Hougaard Extreme Copula

giniCOP: The Gini's Gamma of a Copula

GLcop: The Galambos Extreme Value Copula

gridCOP: Compute a Copula on a Grid

hoefCOP: The Hoeffding's Phi of a Copula or Lp Distances...

HRcop: The Hüsler-Reiss Extreme Value Copula

isCOP.LTD: Is a Copula Left-Tail Decreasing

isCOP.permsym: Is a Copula Permutation Symmetric

isCOP.PQD: The Positively Quadrant Dependency State of a Copula

isCOP.radsym: Is a Copula Radially Symmetric

isCOP.RTI: Is a Copula Right-Tail Increasing

isfuncCOP: Is a General Bivariate Function a Copula by Gridded Search?

joeskewCOP: The Joe's Nu-Skew or Nu-Skew-Star of a Copula

jointCOP: Compute Equal Marginal Probabilities Given a Single Joint AND...

joint.curvesCOP: Compute Coordinates of the Marginal Probabilities given joint...

joint.curvesCOP2: Compute Coordinates of the Marginal Probabilities given joint...

kfuncCOP: The Kendall (Distribution) Function of a Copula

kfuncCOPinv: The Inverse Kendall Function of a Copula

kfuncCOPlmoms: The L-moments of the Kendall Function of a Copula

kullCOP: Kullback-Leibler Divergence, Jeffrey's Divergence, and...

lcomCOPpv: Simulating the Sample Distribution(s) of L-correlation,...

lcomoms2.ABcop2parameter: Convert L-comoments to Parameters of Alpha-Beta Compositions...

lcomoms2.ABKGcop2parameter: Convert L-comoments to Parameters of Alpha-Beta-Kappa-Gamma...

level.curvesCOP: Compute and Plot Level Curves of a Copula V with respect to U

level.curvesCOP2: Compute and Plot Level Curves of a Copula U with respect to V

level.setCOP: Compute a Level Set of a Copula V with respect to U

level.setCOP2: Compute a Level Set of a Copula U with respect to V

M: The Fréchet-Hoeffding Upper Bound Copula

med.regressCOP: Perform Median Regression using a Copula by Numerical...

med.regressCOP2: Perform Median Regression using a Copula by Numerical...

mleCOP: Maximum Pseudo-Log-Likelihood Estimation for Copula Parameter...

N4212cop: The Copula of Equation 4.2.12 of Nelsen's Book

P: The Product (Independence) Copula

PARETOcop: The Pareto Copula

PLACKETTcop: The Plackett Copula

PLACKETTpar: Estimate the Parameter of the Plackett Copula

PLACKETTsim: Direct Simulation of a Plackett Copula

prod2COP: The Product of Two Copulas

psepolar: Pseudo-Polar Representation of Bivariate Data

PSP: The Ratio of the Product Copula to Summation minus Product...

qua.regressCOP: Perform Quantile Regression using a Copula by Numerical...

qua.regressCOP2: Perform Quantile Regression using a Copula by Numerical...

qua.regressCOP.draw: Draw Quantile Regressions using a Copula by Numerical...

ReineckeWell266: Porosity and Permeability Data for Well-266 of the Reinecke...

ReineckeWells: Porosity and Permeability Data for the Reinecke Oil Field,...

rhobevCOP: A Dependence Measure for a Bivariate Extreme Value Copula...

rhoCOP: The Spearman's Rho of a Copula

sectionCOP: The Sections or Derivative of the Sections of a Copula

semicorCOP: The Lower and Upper Semi-Correlations of a Copula

simcomposite3COP: Compute the L-comoments of a Four-Value Composited Copula by...

simcompositeCOP: Compute the L-comoments of a Two-Value Composited Copula by...

simCOP: Simulate a Copula by Numerical Derivative Method

simCOPmicro: Simulate V from U through a Copula by Numerical Derivative...

spectralmeas: Estimation of the Spectral Measure

StableTailDepFN: Estimation of the Stable Tail Dependence Function

statTn: The Tn Statistic of a Fitted Copula to the Empirical Copula

surCOP: The Survival Copula

surfuncCOP: The Joint Survival Function

tailconCOP: The Tail Concentration Function of a Copula

taildepCOP: The Lower- and Upper-Tail Dependency Parameters of a Copula

tailordCOP: The Lower- and Upper-Tail Orders of a Copula

tauCOP: The Kendall's Tau and Concordance Function of a Copula

uvlmoms: Bivariate Skewness after Joe (2014) or the Univariate...

vuongCOP: Vuong's Procedure for Parametric Copula Comparison

W: The Fréchet-Hoeffding Lower Bound Copula

wolfCOP: The Schweizer and Wolff's Sigma of a Copula

Files in this package

copBasic
copBasic/inst
copBasic/inst/CITATION
copBasic/inst/3dcopula
copBasic/inst/3dcopula/3dcopula.tex
copBasic/inst/3dcopula/3dcopula.pl
copBasic/inst/3dcopula/3dcopula_fromperl.tex
copBasic/inst/3dcopula/README
copBasic/inst/3dcopula/3dcopula_config_example.txt
copBasic/inst/3dcopula/3dconfig_examples
copBasic/inst/3dcopula/3dconfig_examples/PSPandW.txt
copBasic/inst/3dcopula/3dconfig_examples/NllanoANDllanoDV1.txt
copBasic/inst/3dcopula/3dconfig_examples/NllanoANDllanoDV2.txt
copBasic/inst/3dcopula/3dconfig_examples/PI.txt
copBasic/inst/3dcopula/3dconfig_examples/SanSabaA.txt
copBasic/inst/3dcopula/3dconfig_examples/Comal.txt
copBasic/inst/3dcopula/3dconfig_examples/Sulphur.txt
copBasic/inst/3dcopula/3dconfig_examples/W.txt
copBasic/inst/3dcopula/3dconfig_examples/MOMO.txt
copBasic/inst/3dcopula/3dconfig_examples/M.txt
copBasic/inst/3dcopula/3dconfig_examples/circ.txt
copBasic/inst/3dcopula/3dconfig_examples/NllanoANDllanoDV3.txt
copBasic/inst/3dcopula/3dconfig_examples/PSP.txt
copBasic/inst/3dcopula/3dconfig_examples/SanSabaB.txt
copBasic/inst/3dcopula/3dcopula.pdf
copBasic/inst/3dcopula/velocity.txt
copBasic/inst/3dcopula/3dcopula_ancillary.tex
copBasic/inst/doc
copBasic/inst/doc/CopulaRelations_BaseFigure_inR.txt
copBasic/inst/doc/Extended_DESCRIPTION.txt
copBasic/NAMESPACE
copBasic/data
copBasic/data/ReineckeWell266.RData
copBasic/data/ReineckeWells.RData
copBasic/R
copBasic/R/derCOP.R copBasic/R/COPinv.R copBasic/R/isCOP.RTI.R copBasic/R/prod2COP.R copBasic/R/derCOP2.R copBasic/R/qua.regressCOP2.R copBasic/R/tailconCOP.R copBasic/R/kullCOP.R copBasic/R/joint.curvesCOP2.R copBasic/R/sectionCOP.R copBasic/R/composite1COP.R copBasic/R/level.curvesCOP2.R copBasic/R/EMPIRsim.R copBasic/R/PSP.R copBasic/R/W.R copBasic/R/isCOP.PQD.R copBasic/R/bilmoms.R copBasic/R/coCOP.R copBasic/R/isCOP.LTD.R copBasic/R/EMPIRgridderinv.R copBasic/R/EMPIRqua.regress2.R copBasic/R/kfuncCOPlmoms.R copBasic/R/vuongCOP.R copBasic/R/statTn.R copBasic/R/giniCOP.R copBasic/R/uvlmoms.R copBasic/R/EMPIRgridder.R copBasic/R/level.setCOP2.R copBasic/R/HRcop.R copBasic/R/med.regressCOP2.R copBasic/R/surfuncCOP.R copBasic/R/PARETOcop.R copBasic/R/hoefCOP.R copBasic/R/copBasic.fitpara.R copBasic/R/COP.R copBasic/R/duCOP.R copBasic/R/lcomCOPpv.R copBasic/R/densityCOPplot.R copBasic/R/EMPIRsimv.R copBasic/R/wolfCOP.R copBasic/R/N4212cop.R copBasic/R/EMPIRgrid.R copBasic/R/level.setCOP.R copBasic/R/derCOPinv.R copBasic/R/EMPIRmed.regress.R copBasic/R/M.R copBasic/R/isfuncCOP.R copBasic/R/GHcop.R copBasic/R/derCOPinv2.R copBasic/R/joeskewCOP.R copBasic/R/GLcop.R copBasic/R/EMPIRgridderinv2.R copBasic/R/densityCOP.R copBasic/R/diagCOP.R copBasic/R/simcomposite3COP.R copBasic/R/PLACKETTpar.R copBasic/R/level.curvesCOP.R copBasic/R/blomCOP.R copBasic/R/EMPIRgridder2.R copBasic/R/simCOPmicro.R copBasic/R/isCOP.permsym.R copBasic/R/tauCOP.R copBasic/R/med.regressCOP.R copBasic/R/simCOP.R copBasic/R/rhoCOP.R copBasic/R/composite2COP.R copBasic/R/convex2COP.R copBasic/R/tailordCOP.R copBasic/R/EMPIRmed.regress2.R copBasic/R/isCOP.radsym.R copBasic/R/kfuncCOP.R copBasic/R/kfuncCOPinv.R copBasic/R/mleCOP.R copBasic/R/EMPIRcop.R copBasic/R/psepolar.R copBasic/R/simcompositeCOP.R copBasic/R/qua.regressCOP.draw.R copBasic/R/surCOP.R copBasic/R/asCOP.R copBasic/R/footCOP.R copBasic/R/jointCOP.R copBasic/R/EMPIRcopdf.R copBasic/R/COPinv2.R copBasic/R/joint.curvesCOP.R copBasic/R/PLACKETTsim.R copBasic/R/spectralmeas.R copBasic/R/lcomoms2.ABcop2parameter.R copBasic/R/PLACKETTcop.R copBasic/R/StableTailDepFN.R copBasic/R/lcomoms2.ABKGcop2parameter.R copBasic/R/diagCOPatf.R copBasic/R/FRECHETcop.R copBasic/R/composite3COP.R copBasic/R/taildepCOP.R copBasic/R/EMPIRqua.regress.R copBasic/R/rhobevCOP.R copBasic/R/semicorCOP.R copBasic/R/P.R copBasic/R/gridCOP.R copBasic/R/qua.regressCOP.R
copBasic/MD5
copBasic/DESCRIPTION
copBasic/ChangeLog
copBasic/man
copBasic/man/EMPIRqua.regress2.Rd copBasic/man/mleCOP.Rd copBasic/man/lcomoms2.ABcop2parameter.Rd copBasic/man/med.regressCOP.Rd copBasic/man/psepolar.Rd copBasic/man/copBasic.fitpara.Rd
copBasic/man/figures
copBasic/man/figures/CopulaRelationsFigure4pkg.jpg
copBasic/man/figures/CopulaRelationsFigure4pkg.pdf
copBasic/man/composite1COP.Rd copBasic/man/isCOP.RTI.Rd copBasic/man/EMPIRmed.regress2.Rd copBasic/man/COP.Rd copBasic/man/duCOP.Rd copBasic/man/wolfCOP.Rd copBasic/man/kfuncCOP.Rd copBasic/man/derCOP.Rd copBasic/man/W.Rd copBasic/man/diagCOPatf.Rd copBasic/man/sectionCOP.Rd copBasic/man/isfuncCOP.Rd copBasic/man/level.curvesCOP2.Rd copBasic/man/P.Rd copBasic/man/coCOP.Rd copBasic/man/StableTailDepFN.Rd copBasic/man/semicorCOP.Rd copBasic/man/qua.regressCOP.draw.Rd copBasic/man/joint.curvesCOP2.Rd copBasic/man/isCOP.permsym.Rd copBasic/man/giniCOP.Rd copBasic/man/uvlmoms.Rd copBasic/man/kullCOP.Rd copBasic/man/EMPIRcopdf.Rd copBasic/man/footCOP.Rd copBasic/man/PSP.Rd copBasic/man/simcompositeCOP.Rd copBasic/man/GHcop.Rd copBasic/man/med.regressCOP2.Rd copBasic/man/prod2COP.Rd copBasic/man/rhobevCOP.Rd copBasic/man/ReineckeWell266.Rd copBasic/man/EMPIRgridderinv.Rd copBasic/man/isCOP.PQD.Rd copBasic/man/joint.curvesCOP.Rd copBasic/man/simCOP.Rd copBasic/man/PLACKETTsim.Rd copBasic/man/PLACKETTpar.Rd copBasic/man/densityCOP.Rd copBasic/man/level.setCOP2.Rd copBasic/man/lcomoms2.ABKGcop2parameter.Rd copBasic/man/N4212cop.Rd copBasic/man/EMPIRmed.regress.Rd copBasic/man/HRcop.Rd copBasic/man/kfuncCOPlmoms.Rd copBasic/man/COPinv2.Rd copBasic/man/simcomposite3COP.Rd copBasic/man/joeskewCOP.Rd copBasic/man/surCOP.Rd copBasic/man/derCOP2.Rd copBasic/man/kfuncCOPinv.Rd copBasic/man/tailconCOP.Rd copBasic/man/COPinv.Rd copBasic/man/lcomCOPpv.Rd copBasic/man/rhoCOP.Rd copBasic/man/hoefCOP.Rd copBasic/man/simCOPmicro.Rd copBasic/man/spectralmeas.Rd copBasic/man/EMPIRgridderinv2.Rd copBasic/man/isCOP.radsym.Rd copBasic/man/isCOP.LTD.Rd copBasic/man/EMPIRqua.regress.Rd copBasic/man/EMPIRsimv.Rd copBasic/man/M.Rd copBasic/man/qua.regressCOP2.Rd copBasic/man/EMPIRcop.Rd copBasic/man/convex2COP.Rd copBasic/man/copBasic-package.Rd copBasic/man/derCOPinv2.Rd copBasic/man/level.curvesCOP.Rd copBasic/man/EMPIRsim.Rd copBasic/man/surfuncCOP.Rd copBasic/man/level.setCOP.Rd copBasic/man/FRECHETcop.Rd copBasic/man/tailordCOP.Rd copBasic/man/bilmoms.Rd copBasic/man/PARETOcop.Rd copBasic/man/diagCOP.Rd copBasic/man/ReineckeWells.Rd copBasic/man/EMPIRgridder.Rd copBasic/man/PLACKETTcop.Rd copBasic/man/EMPIRgrid.Rd copBasic/man/asCOP.Rd copBasic/man/blomCOP.Rd copBasic/man/EMPIRgridder2.Rd copBasic/man/gridCOP.Rd copBasic/man/jointCOP.Rd copBasic/man/taildepCOP.Rd copBasic/man/statTn.Rd copBasic/man/composite2COP.Rd copBasic/man/derCOPinv.Rd copBasic/man/vuongCOP.Rd copBasic/man/composite3COP.Rd copBasic/man/GLcop.Rd copBasic/man/densityCOPplot.Rd copBasic/man/tauCOP.Rd copBasic/man/qua.regressCOP.Rd

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