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.

Author
Marius 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 publication
2016-09-24 18:49:05
Maintainer
Martin Maechler <maechler@stat.math.ethz.ch>
License
GPL (>= 3) | file LICENCE
Version
0.999-15
URLs

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 Copula Function and Its Inverse
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
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 Class 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
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
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...
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" 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/AC_Liouville.R
copula/inst/doc/rhoAMH-dilog.pdf
copula/inst/doc/AR_Clayton.R
copula/inst/doc/tail_compatibility.R
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/logL_visualization.R
copula/inst/doc/wild_animals.R
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/qrng.R
copula/inst/doc/rhoAMH-dilog.Rnw
copula/inst/doc/AC_Liouville.html
copula/inst/doc/copula_GARCH.R
copula/inst/doc/wild_animals.html
copula/inst/doc/qrng.Rmd
copula/inst/doc/GIG.R
copula/inst/doc/NALC.R
copula/inst/doc/NALC.html
copula/inst/doc/copula_GARCH.html
copula/inst/doc/AR_Clayton.html
copula/inst/doc/dNAC.R
copula/tests
copula/tests/estim-ex.R
copula/tests/copula-play.R
copula/tests/retstable-ex.R
copula/tests/moments.R
copula/tests/ggraph-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/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/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/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/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/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/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/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