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. 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 and vertical sections also are supported. Numerical derivatives and inverses of a bicopula are provided; simulation by the conditional distribution method thus is supported. Bicopula composition, convex combination, and products are provided. Support extends to Kendall Function as well as the Lmoments 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 Lmoments. Evaluators of positively/negatively quadrant dependency, left increasing and right decreasing are available. Kullback-Leibler divergence, Vuong's procedure, Spectral Measure, and Lcomoments 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 publication2017-02-25 15:57:35
MaintainerWilliam Asquith <>

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

stabtaildepf: 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


asCOP Man page
bilmoms Man page
blomCOP Man page
coCOP Man page
composite1COP Man page
composite2COP Man page
composite3COP Man page
concordCOP Man page
convex2COP Man page
COP Man page
copBasic.fitpara.beta Man page
copBasic-package Man page
COPinv Man page
COPinv2 Man page
densityCOP Man page
densityCOPplot Man page
derCOP Man page
derCOP2 Man page
derCOPinv Man page
derCOPinv2 Man page
diagCOP Man page
diagCOPatf Man page
diagCOPinv Man page
duCOP Man page
EMPIRcop Man page
EMPIRcopdf Man page
EMPIRgrid Man page
EMPIRgridder Man page
EMPIRgridder2 Man page
EMPIRgridderinv Man page
EMPIRgridderinv2 Man page
EMPIRmed.regress Man page
EMPIRmed.regress2 Man page
EMPIRqua.regress Man page
EMPIRqua.regress2 Man page
EMPIRsim Man page
EMPIRsimv Man page
footCOP Man page
FRECHETcop Man page
GHcop Man page
giniCOP Man page
GLcop Man page
gridCOP Man page
hoefCOP Man page
HRcop Man page
isCOP.LTD Man page
isCOP.permsym Man page
isCOP.PQD Man page
isCOP.radsym Man page
isCOP.RTI Man page
isfuncCOP Man page
joeskewCOP Man page
jointCOP Man page
joint.curvesCOP Man page
joint.curvesCOP2 Man page
kfuncCOP Man page
kfuncCOPinv Man page
kfuncCOPlmom Man page
kfuncCOPlmoms Man page
kmeasCOP Man page
kullCOP Man page
kullCOPint Man page
lcomCOPpv Man page
lcomoms2.ABcop2parameter Man page
lcomoms2.ABKGcop2parameter Man page
level.curvesCOP Man page
level.curvesCOP2 Man page
level.setCOP Man page
level.setCOP2 Man page
LpCOP Man page
LpCOPpermsym Man page
LpCOPradsym Man page
M Man page
med.regressCOP Man page
med.regressCOP2 Man page
mleCOP Man page
N4212cop Man page
nuskewCOP Man page
nustarCOP Man page
P Man page
PARETOcop Man page
PLACKETTcop Man page
PLACKETTpar Man page
PLACKETTsim Man page
PLcop Man page
PLpar Man page
prod2COP Man page
psepolar Man page
PSP Man page
qua.regressCOP Man page
qua.regressCOP2 Man page
qua.regressCOP.draw Man page
rCOP Man page
ReineckeWell266 Man page
ReineckeWells Man page
rhobevCOP Man page
rhoCOP Man page
sectionCOP Man page
semicorCOP Man page
simcomposite2COP Man page
simcomposite3COP Man page
simcompositeCOP Man page
simCOP Man page
simCOPmicro Man page
simCOPv Man page
spectralmeas Man page
stabtaildepf Man page
statTn Man page
surCOP Man page
surfuncCOP Man page
tailconCOP Man page
taildepCOP Man page
tailordCOP Man page
tauCOP Man page
uvlmoms Man page
uvskew Man page
vuongCOP Man page
W Man page
wolfCOP Man page


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/stabtaildepf.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/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/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/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/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/stabtaildepf.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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