copBasic: General Bivariate Copula Theory and Many Utility Functions

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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.

Author
William Asquith
Date of publication
2016-06-03 18:52:40
Maintainer
William Asquith <william.asquith@ttu.edu>
License
GPL-2
Version
2.0.4

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