CopulaModel: Dependence Modeling with Copulas

ALAE600 | ALAE-loss subset of size 600 |

ALAEloss | ALAE-loss data set |

ar2acf | Autocorrelation of Gaussian AR2 given lag1 and lag2... |

asianwklgret | Weekly returns from 4 Asian markets |

asymgum | Bivariate asymmetric Gumbel and Galambos copulas |

asymmetry | Asymmetry / skewness measures for bivariate copulas |

bb1dep2cpar | BB1 Bivariate copula: mapping of measure of association and... |

bb1rpow | Three-parameter bivariate copula families |

bifct | bi-factor and tri-factor structure |

bivcopnllk | Negative log-likelihood for bivariate copula model |

bivdepmeas | Kendall's tau, Spearman's rho and normal scores correlation... |

bivpmf | bivariate probability mass function: cdf and correlation |

blomq | Blomqvist's beta for bivariate data set |

btsampleStaty | Bootstrap from a stationary time series |

bvnsemic | Semi-correlation for bivariate Gaussian |

bvtdep2cpar | Bivariate t copula: mapping of measure of association to... |

chkcop | Checks for pcop pcond dcop qcond functions |

contourBivCop | Contour plot of bivariate copula density with standard... |

copderiv | Derivatives of log copula density and copula conditional cdf |

copextreme | Boundary copula cdfs |

copMarkovts | maximum likelihood estimation and negative log-likelihood for... |

copmultiv | multivariate copula cdfs |

coptrivmxid | Trivariate copula cdfs from mixture of max-id |

CopulaModel-package | CopulaModel: Dependence Modeling with Copulas |

cor2pcor | correlations to partial correlations and vice versa for vine... |

cor2reg | correlations to regression coefficients and vice versa for... |

cormat | Functions on correlation matrices |

cparbound | Copula parameter bounds |

dbvn | bivariate normal (Gaussian) and t densities |

depmeas2cpar | Convert from a dependence measure to copula parameter |

depmeasAsympVar | Asymptotic variance of Kendall's tau, Spearman's rho and... |

deppar2taurhobetalambda | Bivariate copulas: mappings of copula parameter and... |

deptab | Tables of dependence measures for 1-parameter bivariate... |

discreteresponse | Copula models for count response data |

euro0306 | Log returns for some Euro markets |

euro07 | log returns and GARCH-filtered log returns for some Euro... |

exchmvn | Exchangeable (positive) multivariate normal |

extremevalue | Maximum likelihood for GEV and generalized Pareto |

fact1mvn | Rectangle probability for multivariate normal with 1-factor... |

factanal2nllk | negative log-likelihood via factor analysis |

factanal.bi | Gaussian factor analysis: common and bi-factor |

factorcopcdf | Bivariate marginal copula cdfs for 1-factor and 2-factor... |

factorcopmle | MLE and negative log-likelihood for factor copula models |

factorcopsim | Simulation for factor copulas |

fmdepmeas | Spearman rho matrix for 1-factor, 2-factor, nested factor... |

gammaconvfactor | Gamma convolution factor model |

garchfilter | GARCH filter applied separately to log returns |

gausslegendre | Gauss-Legendre quadrature |

gausstrvine | Best Gaussian truncated vines |

gausstrvineMST | Gaussian truncated d-dimensional vines based on sequential... |

genbeta2 | Copula based on generalized beta of order 2 |

gpois | Generalized Poisson cdf and pmf |

gpoisson | Generalized Poisson regression for count data |

imitlefA | Bivariate Archimedean copula based on integrated... |

invgamA | Bivariate Archimedean copula based on inverse gamma LT |

invGauss | Inverse Gaussian distribution |

invGaussconvfactor | Inverse Gaussian convolution factor model |

ipsA | Bivariate Archimedean copula based on integrated positive... |

IRfactormle | MLE for discrete factor models for item response |

IRfactorsim | Simulation for factor copulas for ordinal item response data |

isposdef | Check if Hessian matrix is positive definite |

KLdiv | Kullback-Leibler divergence and sample size for two bivariate... |

kzrepmeas | Karim-Zeger data set |

load2pcor | Operations of loading matrix of Gaussian factor analysis |

loglikvector | Vector of log-likelihoods for a model |

ltmconv | Item response data sets from ltm R package |

makedeptable | Make table of dependence measures for a 1-parameter bivariate... |

mdiscretenllk | negative log-likelihood of multivariate copula with discrete... |

mprobit | multivariate ordinal probit and approximation by vine... |

mvtfact | multivariate t with common p-factor, bi-factor and tri-factor... |

negbinom | Negative binomial regression for count data |

nscore | Transform to normal scores |

ordinal | multivariate ordinal response |

ordinalbivcop | Negative log-likelihood for bivariate marginal copula model... |

ordinalex | Multivariate ordinal data set |

ordprobit.univar | Maximum likelihood for ordinal probit model |

partialcor | partial correlations from a correlation matrix |

pbnorm | Bivariate normal and Student cdfs with vectorized inputs |

pcinterpolate | Interpolate a monotone function (via piecewise cubic Hermite) |

pcond | Bivariate copula conditional cdfs and quantile functions |

pcop | Bivariate copula cdfs and densities |

pdhessmin | Minimization with modified Newton-Raphson and positive... |

pnestfactcop | Bivariate marginal copula cdfs for nested-factor copula... |

rbivcop2param | Bivariate 2-parameter copula families: simulation |

rcop | Simulation from parametric bivariate copula families |

rcopulaGARCH | Simulation for copula GARCH models with factor structure |

rectmult | multivariate rectangle probabilities for copula models |

rfactcop | Simulation for copula models with factor structure |

rhoNsemic | Semi-correlations for bivariate copula |

rLTstochrep | Simulation of random variables from LTs used in Archimedean... |

rvinediscbvnnllk | Negative log-likelihood for discrete R-vine with Gaussian... |

rvinediscrete | Negative log-likelihoods for regular discrete vine models |

rvinenllk | Negative log-likelihoods for regular vine models |

rvinenllkderiv | Negative log-likelihood and gradient for regular vine models |

rvinenllkpseud | Pseudo observations after fitting truncated R-vine copulas |

rvinesim | Simulation for R-vine copulas |

rwmsubset | Riphahn-Wambach-Million subset |

semicor | Semi-correlations for bivariate or multivariate data set |

structcop | Simulation and maximum likelihood for structured factor... |

tailweightedDepmeas | Tail-weighted dependence measures |

taucor | Kendall's tau for two variables |

uscore | Transform to U(0,1) scores |

varray2M | Vine array to maximum matrix |

vinearray | Vine array conversion, validation and generation |

vinemargincdf | Bivariate marginal copulas for trees 2 and 3 of vine copulas |

wcb8594 | Workmans' Compensation Board monthly claims 1985-1994 |

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