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 details

AuthorMarius Hofert [aut] (<>), Ivan Kojadinovic [aut] (<>), Martin Maechler [aut, cre] (<>), Jun Yan [aut] (<>), Johanna G. Nešlehová [ctb] (evTestK(), <>), Rebecca Morger [ctb] ( code for free mixCopula weight parameters)
MaintainerMartin Maechler <>
LicenseGPL (>= 3) | file LICENCE
Package repositoryView on CRAN
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copula documentation built on June 15, 2022, 5:07 p.m.