copula: Multivariate Dependence with Copulas
Version 0.999-18

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 <[email protected]>, Ivan Kojadinovic <[email protected]>, Martin Maechler <[email protected]>, and Jun Yan <[email protected]>
Date of publication2017-06-26 07:48:15
MaintainerMartin Maechler <[email protected]>
LicenseGPL (>= 3) | file LICENCE
Package repositoryView on R-Forge
Installation Install the latest version of this package by entering the following in R:
install.packages("copula", repos="")

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copula documentation built on June 26, 2017, 3 p.m.