copula: Multivariate Dependence with Copulas

Classes (S4) of commonly used elliptical, Archimedean, extreme-value and other copula families, as well as their rotations, mixtures and asymmetrizations. Nested Archimedean copulas, related tools and special functions. Methods for density, distribution, random number generation, bivariate dependence measures, Rosenblatt transform, Kendall distribution function, perspective and contour plots. Fitting of copula models with potentially partly fixed parameters, including standard errors. Serial independence tests, copula specification tests (independence, exchangeability, radial symmetry, extreme-value dependence, goodness-of-fit) and model selection based on cross-validation. Empirical copula, smoothed versions, and non-parametric estimators of the Pickands dependence function.

Package overview Beautiful Spearman's Rho for AMH Copula Nested Archimedean Copulas Meet R Numerically stable Frank Copulas via Multiprecision (Rmpfr) Archimedean Liouville Copulas Densities of Two-Level Nested Archimedean Copulas Examples of Nonstandard Copulas -- "Wild Animals Exploring Empirical Copulas Generalized Inverse Gaussian Archimedean Copulas Hierarchical Archimax Copulas Log-Likelihood Visualization for Archimedean Copulas MLE and Quantile Evaluation for a Clayton AR(1) Model with Student Marginals Nested Archimedean Lévy Copulas Quasi-Random Numbers for Copula Models The Copula GARCH Model

Vignettes Man pages API and functions Files

Package details
Author	Marius Hofert [aut] (<https://orcid.org/0000-0001-8009-4665>), Ivan Kojadinovic [aut] (<https://orcid.org/0000-0002-2903-1543>), Martin Maechler [aut, cre] (<https://orcid.org/0000-0002-8685-9910>), Jun Yan [aut] (<https://orcid.org/0000-0003-4401-7296>), Johanna G. Nešlehová [ctb] (evTestK(), <https://orcid.org/0000-0001-9634-4796>), Rebecca Morger [ctb] (fitCopula.ml(): code for free mixCopula weight parameters)
Maintainer	Martin Maechler <maechler@stat.math.ethz.ch>
License	GPL (>= 3) \| file LICENCE
Version	1.1-4
URL	https://copula.r-forge.r-project.org/ https://r-forge.r-project.org/projects/copula/ https://CRAN.r-project.org/package=copula
Package repository	View on CRAN
Installation	Install the latest version of this package by entering the following in R: `install.packages("copula")`