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.
| Version: | 0.999-18 |
| Depends: | R (≥ 3.1.0) |
| Imports: | stats, graphics, methods, stats4, Matrix, lattice, colorspace, gsl, ADGofTest, stabledist (≥ 0.6-4), mvtnorm, pcaPP, pspline, numDeriv |
| Suggests: | MASS, KernSmooth, sfsmisc, scatterplot3d, Rmpfr, bbmle, knitr, parallel, gridExtra, lcopula, mvnormtest, partitions, polynom, qrng, randtoolbox, rugarch, Runuran, tseries, VGAM, VineCopula, zoo |
| Enhances: | nor1mix |
| Published: | 2017-09-01 |
| Author: | Marius Hofert, Ivan Kojadinovic, Martin Maechler, and Jun Yan |
| Maintainer: | Martin Maechler <maechler at stat.math.ethz.ch> |
| License: | GPL (≥ 3) | file LICENCE |
| URL: | http://copula.r-forge.r-project.org/ |
| NeedsCompilation: | yes |
| Citation: | copula citation info |
| Materials: | NEWS ChangeLog |
| In views: | Distributions, ExtremeValue, Finance, Multivariate |
| CRAN checks: | copula results |
| Reference manual: | copula.pdf |
| Vignettes: |
Archimedean Liouville Copulas MLE and Quantile Evaluation for a Clayton AR(1) Model with Student Marginals Generalized Inverse Gaussian Archimedean Copulas Nested Archimedean Lévy Copulas The Copula GARCH Model Densities of Two-Level Nested Archimedean Copulas Log-Likelihood Visualization for Archimedean Copulas Quasi-Random Numbers for Copula Models Copula Constructions for Tail-Dependence Matrices Wild Animals: Examples of Nonstandard Copulas Numerically stable Frank Copulas via Multiprecision (Rmpfr) Nested Archimedean Copulas Meet R Beautiful Spearman's Rho for AMH Copula |
| Package source: | copula_0.999-18.tar.gz |
| Windows binaries: | r-devel: copula_0.999-18.zip, r-release: copula_0.999-18.zip, r-oldrel: copula_0.999-18.zip |
| OS X El Capitan binaries: | r-release: copula_0.999-18.tgz |
| OS X Mavericks binaries: | r-oldrel: copula_0.999-18.tgz |
| Old sources: | copula archive |
| Reverse depends: | BivarP, censorcopula, ClusterStability, CoClust, CoImp, gofCopula, HAC, HiDimMaxStable, lcopula, RGENERATEPREC, RMRAINGEN, SemiParSampleSel, vfcp, vines |
| Reverse imports: | apt, cds, copulaedas, flood, gamCopula, GJRM, penRvine, pgee.mixed, PortRisk, sgee, strataG, surrosurv, svars, tailDepFun, VineCopula |
| Reverse suggests: | aftgee, copBasic, docopulae, kyotil, mbbefd, npcp, qrmtools, robustrank, simcausal, SimDesign, simsalapar, simsem, zenplots |
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