copula-package | R Documentation |

The copula package provides (S4) classes of commonly used elliptical, (nested) Archimedean, extreme value and other copula families; methods for density, distribution, random number generation, and plots.

Fitting copula models and goodness-of-fit tests. Independence and serial (univariate and multivariate) independence tests, and other copula related tests.

The DESCRIPTION file:
This package was not yet installed at build time.

Index: This package was not yet installed at build time.

The copula package provides

Classes (S4) of commonly used copulas including elliptical (normal and t;

`ellipCopula`

), Archimedean (Clayton, Gumbel, Frank, Joe, and Ali-Mikhail-Haq; ;`archmCopula`

and`acopula`

), extreme value (Gumbel, Husler-Reiss, Galambos, Tawn, and t-EV;`evCopula`

), and other families (Plackett and Farlie-Gumbel-Morgenstern).Methods for density, distribution, random number generation (

`dCopula`

,`pCopula`

and`rCopula`

); bivariate dependence measures (`rho`

,`tau`

, etc), perspective and contour plots.Functions (and methods) for fitting copula models including variance estimates (

`fitCopula`

).Independence tests among random variables and vectors.

Serial independence tests for univariate and multivariate continuous time series.

Goodness-of-fit tests for copulas based on multipliers, and the parametric bootstrap, with several transformation options.

Bivariate and multivariate tests of extreme-value dependence.

Bivariate tests of exchangeability.

Now with former package nacopula for working with nested Archimedean copulas. Specifically,

it provides procedures for computing function values and cube volumes (

`prob`

),characteristics such as Kendall's tau and tail dependence coefficients (via family objects, e.g.,

`copGumbel`

),efficient sampling algorithms (

`rnacopula`

),various estimators and goodness-of-fit tests.

The package also contains related univariate distributions and special functions such as the Sibuya distribution (

`Sibuya`

), the polylogarithm (`polylog`

), Stirling and Eulerian numbers (`Eulerian`

).

Further information is available in the following vignettes:

`nacopula-pkg` | Nested Archimedean Copulas Meet R (../doc/nacopula-pkg.pdf) |

`Frank-Rmpfr` | Numerically Stable Frank via Multiprecision in R (../doc/Frank-Rmpfr) |

For a list of exported functions, use `help(package = "copula")`

.

Yan, J. (2007)
Enjoy the Joy of Copulas: With a Package copula.
*Journal of Statistical Software* **21**(4), 1–21.
https://www.jstatsoft.org/v21/i04/.

Kojadinovic, I. and Yan, J. (2010).
Modeling Multivariate Distributions with Continuous Margins Using the
copula R Package.
*Journal of Statistical Software* **34**(9), 1–20.
https://www.jstatsoft.org/v34/i09/.

Hofert, M. and Mächler, M. (2011),
Nested Archimedean Copulas Meet R: The nacopula Package.,
*Journal of Statistical Software* **39**(9), 1–20.
https://www.jstatsoft.org/v39/i09/.

Nelsen, R. B. (2006)
*An introduction to Copulas*. Springer, New York.

The following CRAN packages currently use (‘depend on’) copula: CoClust, copulaedas, Depela, HAC, ipptoolbox, vines.

## Some of the more important functions (and their examples) are example(fitCopula)## fitting Copulas example(fitMvdc) ## fitting multivariate distributions via Copulas example(nacopula) ## nested Archimedean Copulas ## Independence Tests: These also draw a 'Dependogram': example(indepTest) ## Testing for Independence example(serialIndepTest) ## Testing for Serial Independence

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.