copula (0.999-20)

3 users

Multivariate Dependence with Copulas.

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.

Maintainer: Martin Maechler
Author(s): Marius Hofert [aut] (<>), Ivan Kojadinovic [aut] (<>), Martin Maechler [aut, cre] (<>), Jun Yan [aut] (<>), Johanna G. Nelehov [ctb] (evTestK(), <>)

License: GPL (>= 3) | file LICENCE

Uses: ADGofTest, colorspace, gsl, lattice, Matrix, mvtnorm, numDeriv, pcaPP, pspline, stabledist, KernSmooth, Runuran, VGAM, abind, bbmle, mvnormtest, partitions, polynom, scatterplot3d, tseries, zoo, sfsmisc, randtoolbox, Rmpfr, MASS, gridExtra, rugarch, knitr, VineCopula, qrng, mev, lcopula, crop
Enhances: nor1mix, copulaData
Reverse depends: BayesBridge, BivarP, censorcopula, ClusterStability, CoClust, CoImp, CopCTS, copulaedas, COST, Depela, gofCopula, HAC, HiDimMaxStable, HMMcopula, ipptoolbox, lcopula, nacopula, nCopula, NCSCopula, RGENERATEPREC, SemiParSampleSel, simsem, VC2copula, vfcp, vines
Reverse suggests: aftgee, ARAMIS, copBasic, docopulae, gnn, intcensROC, ks, kyotil, mbbefd, npcp, qrmtools, robustrank, simcausal, SimDesign, simsalapar, simsem, univariateML, vfcp, wdm, zenplots

Released 4 months ago.

38 previous versions



  3.0/5 (2 votes)


  3.0/5 (2 votes)

Log in to vote.


No one has written a review of copula yet. Want to be the first? Write one now.

Related packages: VGAM, fExtremes, evd, fgac, lmomco, mvtnorm, extremefit, evir, evdbayes, lmom, RTDE, actuar, bayesm, fBasics, fCopulae, ghyp, MCMCpack, mnormt, sn, car(20 best matches, based on common tags.)

Search for copula on google, google scholar, r-help, r-devel.

Visit copula on R Graphical Manual.