copula: Multivariate Dependence with Copulas

Classes (S4) of commonly used elliptical, Archimedean, extreme value and some more copula families. Methods for density, distribution, random number generation, bivariate dependence measures, perspective and contour plots. Fitting copula models including variance estimates. Independence and serial (univariate and multivariate) independence tests, and other copula related tests. Empirical copula and multivariate CDF. Goodness-of-fit tests for copulas based on multipliers, the parametric bootstrap with several transformation options. Merged former package 'nacopula' for nested Archimedean copulas: Efficient sampling algorithms, various estimators, goodness-of-fit tests and related tools and special functions.

AuthorMarius Hofert <marius.hofert@uwaterloo.ca>, Ivan Kojadinovic <ivan.kojadinovic@univ-pau.fr>, Martin Maechler <maechler@stat.math.ethz.ch>, and Jun Yan <jun.yan@uconn.edu>
Date of publication2017-01-09 15:16:55
MaintainerMartin Maechler <maechler@stat.math.ethz.ch>
LicenseGPL (>= 3) | file LICENCE
Version0.999-16
http://copula.r-forge.r-project.org/

View on CRAN

Man pages

absdpsiMC: Absolute Value of Generator Derivatives via Monte Carlo

acopula-class: Class "acopula" of Archimedean Copula Families

acR: Distribution of the Radial Part of an Archimedean Copula

allComp: All Components of a (Inner or Outer) Nested Archimedean...

An: Nonparametric Rank-based Estimators of the Pickands...

archmCopula: Construction of Archimedean Copula Class Object

archmCopula-class: Class "archmCopula"

assocMeasures: Dependence Measures for Bivariate Copulas

asymCopula: Construction of copulas using Khoudraji's device

asymCopula-class: Class '"khoudrajiCopula"' and its Subclasses

Bernoulli: Compute Bernoulli Numbers

beta.Blomqvist: Sample and Population Version of Blomqvist's Beta for...

cCopula: Conditional Distributions and Their Inverses from Copulas

cloud2-methods: Cloud Plot Methods ('cloud2') in Package 'copula'

coeffG: Coefficients of Polynomial used for Gumbel Copula

contour-methods: Methods for Contour Plots in Package 'copula'

contourplot2-methods: Contour Plot Methods 'contourplot2' in Package 'copula'

copFamilies: Specific Archimedean Copula Families ("acopula" Objects)

Copula: Density, Evaluation, and Random Number Generation for Copula...

copula-class: Mother Classes "Copula", etc of all Copulas in the Package

copula-internal: Internal Copula Functions

copula-package: Multivariate Dependence Modeling with Copulas

dDiag: Density of the Diagonal of (Nested) Archimedean Copulas

describeCop: Copula (Short) Description as String

dnacopula: Density Evaluation for (Nested) Archimedean Copulas

ellipCopula: Construction of Elliptical Copula Class Objects

ellipCopula-class: Class "ellipCopula" of Elliptical Copulas

emde: Minimum Distance Estimators for (Nested) Archimedean Copulas

emle: Maximum Likelihood Estimators for (Nested) Archimedean...

empcop: The Empirical Copula

enacopula: Estimation Procedures for (Nested) Archimedean Copulas

estim-misc: Various Estimators for (Nested) Archimedean Copulas

evCopula: Construction of Extreme-Value Copula Objects

evCopula-class: Classes Representing Extreme-Value Copulas

evTestA: Bivariate Test of Extreme-Value Dependence Based on Pickands'...

evTestC: Large-sample Test of Multivariate Extreme-Value Dependence

evTestK: Bivariate Test of Extreme-Value Dependence Based on Kendall's...

exchEVTest: Test of Exchangeability for Certain Bivariate Copulas

exchTest: Test of Exchangeability for a Bivariate Copula

fgmCopula: Construction of a fgmCopula Class Object

fgmCopula-class: Class "fgmCopula"

fitCopula: Fitting Copulas to Data - Copula Parameter Estimation

fitCopula-class: Classes of Fitted Multivariate Models: Copula, Mvdc

fitLambda: Non-parametric Estimators of the Matrix of Tail-Dependence...

fitMvdc: Estimation of Multivariate Models Defined via Copulas

fixedPar: Fix a Subset of a Copula Parameter Vector

gasoil: Daily Crude Oil and Natural Gas Prices from 2003 to 2006

generator-methods: Generator Functions for Archimedean and Extreme-Value Copulas

getAcop: Get "acopula" Family Object by Name

getTheta: Get the Parameter(s) of a Copula

ggraph-tools: Computations for Graphical GOF Test via Pairwise Rosenblatt...

gnacopula: Goodness-of-fit Testing for (Nested) Archimedean Copulas

gofCopula: Goodness-of-fit Tests for Copulas

gofEVCopula: Goodness-of-fit Tests for Bivariate Extreme-Value Copulas

gofOtherTstat: Various Goodness-of-fit Test Statistics

gofTstat: Goodness-of-fit Test Statistics

htrafo: GOF Testing Transformation of Hering and Hofert

indepCopula: Construction of Independence Copula Class Objects

indepCopula-class: Class "indepCopula"

indepTest: Test Independence of Continuous Random Variables via...

initOpt: Initial Interval or Value for Parameter Estimation of...

interval: Construct Simple "interval" Object

interval-class: Class "interval" of Simple Intervals

K: Kendall Distribution Function for Archimedean Copulas

log1mexp: Compute f(a) = log(1 +/- exp(-a)) Numerically Optimally

loss: LOSS and ALAE Insurance Data

math-fun: Sinc, Zolotarev's, and Other Mathematical Utility Functions

matrix_tools: Tools to Work with Matrices

mixCopula: Create Mixture of Copulas

mixCopula-class: Class '"mixCopula"' of Copula Mixtures

multIndepTest: Independence Test Among Continuous Random Vectors Based on...

multSerialIndepTest: Serial Independence Test for Multivariate Time Series via...

Mvdc: Multivariate Distributions Constructed from Copulas

mvdc-class: Class "mvdc"

nacopula-class: Class "nacopula" of Nested Archimedean Copulas

nacPairthetas: Pairwise Thetas of Nested Archimedean Copulas

nacTiming: Timing for Sampling Frailties of Nested Archimedean Copulas

nesdepth: Nesting Depth of a Nested Archimedean Copula ("nacopula")

onacopula: Constructing (Outer) Nested Archimedean Copulas

opower: Outer Power Transformation of Archimedean Copulas

pairs2: Scatter-Plot Matrix ('pairs') for Copula Distributions with...

pairsCond: Pairs Plot of a cu.u Object (Internal Use)

pairsRosenblatt: Plots for Graphical GOF Test via Pairwise Rosenblatt...

persp-methods: Methods for Function 'persp' in Package 'copula'

plackettCopula: Construction of a Plackett Copula Class Object

plot-methods: Methods for 'plot' in Package 'copula'

pnacopula: Evaluation of (Nested) Archimedean Copulas

pobs: Pseudo-Observations

polylog: Polylogarithm Li_s(z) and Debye Functions

polynEval: Evaluate Polynomials

printNacopula: Print Compact Overview of a Nested Archimedean Copula...

prob: Computing Probabilities of Hypercubes

qqplot2: Q-Q Plot with Rugs and Pointwise Asymptotic Confidence...

radSymTest: Test of Exchangeability for a Bivariate Copula

rdj: Daily Returns of Three Stocks in the Dow Jones

retstable: Sampling Exponentially Tilted Stable Distributions

rF01FrankJoe: Sample Univariate Distributions Involved in Nested Frank and...

rFFrankJoe: Sampling Distribution F for Frank and Joe

rlog: Sampling Logarithmic Distributions

rnacModel: Random nacopula Model

rnacopula: Sampling Nested Archimedean Copulas

rnchild: Sampling Child 'nacopula's

rotCopula: Construction and Class of Rotated aka Reflected Copulas

RSpobs: Pseudo-Observations of Radial and Uniform Part of Elliptical...

rstable1: Random numbers from (Skew) Stable Distributions

safeUroot: One-dimensional Root (Zero) Finding - Extra "Safety" for...

serialIndepTest: Serial Independence Test for Continuous Time Series Via...

setTheta: Specify the Parameter(s) of a Copula

show-methods: Methods for 'show()' in Package 'copula'

Sibuya: Sibuya Distribution - Sampling and Probabilities

SMI.12: SMI Data - 141 Days in Winter 2011/2012

splom2-methods: Methods for Scatter Plot Matrix 'splom2' in Package 'copula'

Stirling: Eulerian and Stirling Numbers of First and Second Kind

tauAMH: Ali-Mikhail-Haq ("AMH")'s and Joe's Kendall's Tau

uranium: Uranium Exploration Dataset of Cook & Johnson (1986)

wireframe2-methods: Perspective Plots - 'wireframe2' in Package 'copula'

xvCopula: Model (copula) selection based on 'k'-fold cross-validation

Files in this package

copula
copula/TODO
copula/inst
copula/inst/Rsource
copula/inst/Rsource/utils.R
copula/inst/Rsource/estim-gof-fn.R
copula/inst/Rsource/dnac.R
copula/inst/Rsource/AC-Liouville.R
copula/inst/Rsource/fixup-sapply.R
copula/inst/Rsource/gof-sim.R
copula/inst/Rsource/MO.R
copula/inst/Rsource/GIG.R
copula/inst/Rsource/tstFit-fn.R
copula/inst/Rsource/cops.R
copula/inst/CITATION
copula/inst/NEWS.Rd
copula/inst/rData
copula/inst/rData/retstable_st2.rda
copula/inst/rData/retstable_CPU2.rda
copula/inst/rData/README.org
copula/inst/rData/retstable_Nstat.rda
copula/inst/docs
copula/inst/docs/mathnb
copula/inst/docs/mathnb/frankCopula.genfunDer.expr
copula/inst/docs/mathnb/amhCopula.pdf.expr
copula/inst/docs/mathnb/archmCPdf.m
copula/inst/docs/mathnb/gumbelCopula.pdfDerWrtArg.expr
copula/inst/docs/mathnb/gumbelCopula.cdfDerWrtArg.expr
copula/inst/docs/mathnb/claytonCopula.genfunDer.expr
copula/inst/docs/mathnb/gumbelCopula.pdf.expr
copula/inst/docs/mathnb/getDerExpr.m
copula/inst/docs/mathnb/evcopula.nb
copula/inst/docs/mathnb/claytonCopula.pdf.expr
copula/inst/docs/mathnb/claytonCopula.cdfDerWrtArg.expr
copula/inst/docs/mathnb/galambos.expr
copula/inst/docs/mathnb/amhCopula.genfunDer.expr
copula/inst/docs/mathnb/amhCopula.genfun.expr
copula/inst/docs/mathnb/amhCopula.pdfDerWrtArg.expr
copula/inst/docs/mathnb/frankCopula.cdf.expr
copula/inst/docs/mathnb/gumbelCopula.pdfDerWrtPar.expr
copula/inst/docs/mathnb/claytonCopula.genfun.expr
copula/inst/docs/mathnb/frankCopula.pdfDerWrtArg.expr
copula/inst/docs/mathnb/README
copula/inst/docs/mathnb/exprPrep.R
copula/inst/docs/mathnb/check2Ivan.Rout
copula/inst/docs/mathnb/archmDer.m
copula/inst/docs/mathnb/getDerExpr.out
copula/inst/docs/mathnb/claytonCopula.cdfDerWrtPar.expr
copula/inst/docs/mathnb/amhCopula.cdf.expr
copula/inst/docs/mathnb/amhCopula.cdfDerWrtArg.expr
copula/inst/docs/mathnb/frankCopula.genfun.expr
copula/inst/docs/mathnb/frankCopula.pdf.expr
copula/inst/docs/mathnb/gumbelCopula.cdf.expr
copula/inst/docs/mathnb/frankCopula.cdfDerWrtArg.expr
copula/inst/docs/mathnb/claytonCopula.pdfDerWrtPar.expr
copula/inst/docs/mathnb/archmDer.out
copula/inst/docs/mathnb/exprPrep.Rout
copula/inst/docs/mathnb/frankCopula.pdfDerWrtPar.expr
copula/inst/docs/mathnb/gumbelCopula.genfun.expr
copula/inst/docs/mathnb/gumbelCopula.genfunDer.expr
copula/inst/docs/mathnb/check2Ivan.R
copula/inst/docs/mathnb/claytonCopula.pdfDerWrtArg.expr
copula/inst/docs/mathnb/claytonCopula.cdf.expr
copula/inst/docs/mathnb/archmCPdf.out
copula/inst/docs/mathnb/frankCopula.cdfDerWrtPar.expr
copula/inst/docs/mathnb/amhCopula.cdfDerWrtPar.expr
copula/inst/docs/mathnb/gumbelCopula.cdfDerWrtPar.expr
copula/inst/docs/mathnb/amhCopula.pdfDerWrtPar.expr
copula/inst/docs/netsrc
copula/inst/docs/netsrc/sgen.for
copula/inst/docs/tauRho
copula/inst/docs/tauRho/gridsetup.R
copula/inst/docs/tauRho/README.R
copula/inst/docs/tauRho/trpsrho.R
copula/inst/docs/tauRho/validPlot.R
copula/inst/docs/tauRho/trpstau.R
copula/inst/docs/tauRho/getSysdataImage.R
copula/inst/docs/tauRho/evtrps.R
copula/inst/docs/obsolete
copula/inst/docs/obsolete/oldgof.R
copula/inst/docs/obsolete/varEstCopula.R
copula/inst/docs/obsolete/localpower.c
copula/inst/docs/obsolete/try.c
copula/inst/docs/obsolete/sgen.f
copula/inst/docs/obsolete/localpower.R
copula/inst/docs/obsolete/skewNormalCopula.R
copula/inst/docs/obsolete/dgamma.f
copula/inst/doc
copula/inst/doc/rhoAMH-dilog.pdf
copula/inst/doc/wild_animals.Rmd
copula/inst/doc/GIG.Rmd
copula/inst/doc/logL_visualization.Rmd
copula/inst/doc/Frank-Rmpfr.pdf
copula/inst/doc/NALC.Rmd
copula/inst/doc/AC_Liouville.Rmd
copula/inst/doc/rhoAMH-dilog.R
copula/inst/doc/tail_compatibility.Rmd
copula/inst/doc/nacopula-pkg.R
copula/inst/doc/nacopula-pkg.pdf
copula/inst/doc/qrng.html
copula/inst/doc/Frank-Rmpfr.Rnw
copula/inst/doc/logL_visualization.html
copula/inst/doc/tail_compatibility.html
copula/inst/doc/dNAC.Rmd
copula/inst/doc/dNAC.html
copula/inst/doc/Frank-Rmpfr.R
copula/inst/doc/nacopula-pkg.Rnw
copula/inst/doc/copula_GARCH.Rmd
copula/inst/doc/AR_Clayton.Rmd
copula/inst/doc/GIG.html
copula/inst/doc/rhoAMH-dilog.Rnw
copula/inst/doc/AC_Liouville.html
copula/inst/doc/wild_animals.html
copula/inst/doc/qrng.Rmd
copula/inst/doc/NALC.html
copula/inst/doc/copula_GARCH.html
copula/inst/doc/AR_Clayton.html
copula/tests
copula/tests/estim-ex.R
copula/tests/khoudraji-ex.R
copula/tests/copula-play.R
copula/tests/retstable-ex.R
copula/tests/moments.R
copula/tests/ggraph-tst.R
copula/tests/explicitCop-ex.R
copula/tests/mixCop-tst.R
copula/tests/tail-pcopula.R
copula/tests/nac-experi.R
copula/tests/Stirling-etc.R
copula/tests/rstable-ex.R
copula/tests/fitting-ex.R
copula/tests/tail-pcopula.Rout.save
copula/tests/dC-dc-ex.R
copula/tests/fixedPar-ex.R
copula/src
copula/src/Makevars
copula/src/copula_int.h
copula/src/gof.c
copula/src/serialIndepTest.c
copula/src/multIndepTest.c
copula/src/cop_gsl.h
copula/src/indepTest_utils.c
copula/src/retstable.c
copula/src/rLog.c
copula/src/multSerialIndepTest.c
copula/src/rF01Frank.c
copula/src/empcop.c
copula/src/evtest.c
copula/src/gof.h
copula/src/rF01Joe.c
copula/src/exchtest.c
copula/src/ecIndepTest.c
copula/src/fgm.c
copula/src/copula.h
copula/src/An.h
copula/src/rSibuya.c
copula/src/empcop.h
copula/src/nacopula.h
copula/src/indepTests.h
copula/src/logseries.c
copula/src/An.c
copula/src/polyn_eval.c
copula/src/init.c
copula/src/set_utils.h
copula/src/set_utils.c
copula/NAMESPACE
copula/demo
copula/demo/dDiag-plots.R
copula/demo/estimation.gof.R
copula/demo/gof_graph.R
copula/demo/opC-demo.R
copula/demo/estimation_via_HAC.R
copula/demo/G_ak.R
copula/demo/dDiag-plots-part-2.R
copula/demo/retstable.R
copula/demo/polyGJ.R
copula/demo/00Index
copula/demo/fitting-tests.R
copula/demo/gofCopula.R
copula/demo/timings.R
copula/data
copula/data/uranium.tab.gz
copula/data/loss.tab.gz
copula/data/gasoil.rda
copula/data/rdj.rda
copula/data/SMI.12.rda
copula/R
copula/R/archmCopula.R copula/R/matrix_tools.R copula/R/ggraph-tools.R copula/R/schlatherCopula.R copula/R/tevCopula.R copula/R/empPsi.R copula/R/Auxiliaries.R copula/R/logseries.R copula/R/joeCopula.R copula/R/fitCopula.R copula/R/graphics.R copula/R/ellipCopula.R copula/R/cCopula.R copula/R/estimation.R copula/R/gumbelExpr.R copula/R/pairsRosenblatt.R copula/R/huslerReissCopula.R copula/R/AllClass.R copula/R/galambosCopula.R copula/R/amhCopula.R copula/R/fitMvdc.R copula/R/claytonCopula.R copula/R/gofEVTests.R copula/R/mixCopula.R
copula/R/sysdata.rda
copula/R/plackettExpr.R copula/R/aux-acopula.R copula/R/empcop.R copula/R/huslerReissExpr.R copula/R/xvCopula.R copula/R/gumbelCopula.R copula/R/safeUroot.R copula/R/special-func.R copula/R/opower.R copula/R/plackettCopula.R copula/R/fitLambda.R copula/R/prob.R copula/R/Copula.R copula/R/K.R copula/R/galambosExpr.R copula/R/gofTrafos.R copula/R/nacopula.R copula/R/mvdc.R copula/R/fgmCopula.R copula/R/wrapper.R copula/R/tawnExpr.R copula/R/frankExpr.R copula/R/tawnCopula.R copula/R/amhExpr.R copula/R/asymCopula.R copula/R/indepTests.R copula/R/exchTests.R copula/R/fixedPar.R copula/R/evTests.R copula/R/evCopula.R copula/R/tCopula.R copula/R/galambosExpr-math.R copula/R/AllGeneric.R copula/R/claytonExpr.R copula/R/timing.R copula/R/rotCopula.R copula/R/acR.R copula/R/cop_objects.R copula/R/frankCopula.R copula/R/dC-dc.R copula/R/rstable1.R copula/R/An.R copula/R/gofCopula.R copula/R/zzz.R copula/R/normalCopula.R copula/R/indepCopula.R copula/R/stable.R copula/R/Classes.R
copula/vignettes
copula/vignettes/wild_animals.Rmd
copula/vignettes/GIG.Rmd
copula/vignettes/logL_visualization.Rmd
copula/vignettes/NALC.Rmd
copula/vignettes/AC_Liouville.Rmd
copula/vignettes/tail_compatibility.Rmd
copula/vignettes/mlogL_mpfr_x86_64.rda
copula/vignettes/Frank-Rmpfr.Rnw
copula/vignettes/dNAC.Rmd
copula/vignettes/nacopula-pkg.Rnw
copula/vignettes/copula_GARCH.Rmd
copula/vignettes/AR_Clayton.Rmd
copula/vignettes/nacopula.bib
copula/vignettes/mlogL_mpfr_i686.rda
copula/vignettes/rhoAMH-dilog.Rnw
copula/vignettes/qrng.Rmd
copula/vignettes/style.css
copula/MD5
copula/build
copula/build/vignette.rds
copula/build/partial.rdb
copula/DESCRIPTION
copula/LICENCE
copula/ChangeLog
copula/man
copula/man/onacopula.Rd copula/man/loss.Rd copula/man/exchEVTest.Rd copula/man/initOpt.Rd copula/man/fitLambda.Rd copula/man/fixedPar.Rd copula/man/mixCopula-class.Rd copula/man/Mvdc.Rd copula/man/gofCopula.Rd copula/man/plot-methods.Rd copula/man/SMI.12.Rd copula/man/evTestC.Rd copula/man/ellipCopula.Rd copula/man/fgmCopula-class.Rd copula/man/acopula-class.Rd copula/man/ggraph-tools.Rd copula/man/copula-class.Rd copula/man/gofTstat.Rd copula/man/evCopula.Rd copula/man/enacopula.Rd copula/man/interval-class.Rd copula/man/rstable1.Rd copula/man/pairsCond.Rd copula/man/gofEVCopula.Rd copula/man/multIndepTest.Rd copula/man/rnacopula.Rd copula/man/K.Rd copula/man/tauAMH.Rd copula/man/generator-methods.Rd copula/man/Copula.Rd copula/man/matrix_tools.Rd copula/man/plackettCopula.Rd copula/man/rnchild.Rd copula/man/asymCopula-class.Rd copula/man/safeUroot.Rd copula/man/gnacopula.Rd copula/man/uranium.Rd copula/man/xvCopula.Rd copula/man/opower.Rd copula/man/coeffG.Rd copula/man/prob.Rd copula/man/interval.Rd copula/man/gofOtherTstat.Rd copula/man/RSpobs.Rd copula/man/rdj.Rd copula/man/empcop.Rd copula/man/ellipCopula-class.Rd copula/man/emle.Rd copula/man/emde.Rd copula/man/rF01FrankJoe.Rd copula/man/mixCopula.Rd copula/man/retstable.Rd copula/man/indepCopula.Rd copula/man/Bernoulli.Rd copula/man/rnacModel.Rd copula/man/evCopula-class.Rd copula/man/An.Rd copula/man/pobs.Rd copula/man/contourplot2-methods.Rd copula/man/archmCopula.Rd copula/man/allComp.Rd copula/man/Sibuya.Rd copula/man/acR.Rd copula/man/polylog.Rd copula/man/htrafo.Rd copula/man/beta.Blomqvist.Rd copula/man/evTestA.Rd copula/man/assocMeasures.Rd copula/man/rotCopula.Rd copula/man/rlog.Rd copula/man/radSymTest.Rd copula/man/printNacopula.Rd copula/man/pairsRosenblatt.Rd copula/man/dDiag.Rd copula/man/mvdc-class.Rd copula/man/gasoil.Rd copula/man/exchTest.Rd copula/man/getTheta.Rd copula/man/math-fun.Rd copula/man/contour-methods.Rd copula/man/archmCopula-class.Rd copula/man/nacopula-class.Rd copula/man/log1mexp.Rd copula/man/fitCopula-class.Rd copula/man/describeCop.Rd copula/man/qqplot2.Rd copula/man/fgmCopula.Rd copula/man/copFamilies.Rd copula/man/fitCopula.Rd copula/man/evTestK.Rd copula/man/persp-methods.Rd copula/man/setTheta.Rd copula/man/indepCopula-class.Rd copula/man/dnacopula.Rd copula/man/polynEval.Rd copula/man/pairs2.Rd copula/man/serialIndepTest.Rd copula/man/splom2-methods.Rd copula/man/asymCopula.Rd copula/man/nacPairthetas.Rd copula/man/nesdepth.Rd copula/man/multSerialIndepTest.Rd copula/man/estim-misc.Rd copula/man/indepTest.Rd copula/man/cloud2-methods.Rd copula/man/Stirling.Rd copula/man/copula-package.Rd copula/man/pnacopula.Rd copula/man/absdpsiMC.Rd copula/man/copula-internal.Rd copula/man/getAcop.Rd copula/man/fitMvdc.Rd copula/man/cCopula.Rd copula/man/rFFrankJoe.Rd copula/man/show-methods.Rd copula/man/wireframe2-methods.Rd copula/man/nacTiming.Rd

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