copula: 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.

Version: 0.999-17
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: 2017-06-18
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

Downloads:

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_0.999-17.tar.gz
Windows binaries: r-devel: copula_0.999-17.zip, r-release: copula_0.999-17.zip, r-oldrel: copula_0.999-17.zip
OS X El Capitan binaries: r-release: copula_0.999-17.tgz
OS X Mavericks binaries: r-oldrel: copula_0.999-17.tgz
Old sources: copula archive

Reverse dependencies:

Reverse depends: BivarP, censorcopula, ClusterStability, CoClust, CoImp, gofCopula, HAC, HiDimMaxStable, lcopula, RGENERATEPREC, RMRAINGEN, SemiParSampleSel, vines
Reverse imports: apt, cds, copulaedas, flood, gamCopula, GJRM, penRvine, pgee.mixed, PortRisk, sgee, strataG, surrosurv, tailDepFun, VineCopula
Reverse suggests: aftgee, copBasic, docopulae, kyotil, mbbefd, npcp, qrmtools, robustrank, simcausal, simsalapar, simsem, vfcp, zenplots

Linking:

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