For most of the classical distributions, base R provides
probability distribution functions (p), density functions (d), quantile functions
(q), and random number generation (r).
Beyond this basic functionality, many CRAN packages provide
additional useful distributions. In particular, multivariate distributions as well as copulas
are available in contributed packages.
Ultimate bibles on probability distributions are:

different volumes of N. L. Johnson, S. Kotz and N. Balakrishnan books, e.g. Continuous Univariate Distributions, Vol. 1,

Thesaurus of univariate discrete probability distributions by G. Wimmer and G. Altmann.

Statistical Distributions by M. Evans, N. Hastings, B. Peacock.

Distributional Analysis with Lmoment Statistics using the R Environment for Statistical Computing, Asquith (2011).
The maintainer greatfully acknowledges Achim Zeileis, David Luethi, Tobias Verbeke, Robin
Hankin, Mathias Kohl, G. Jay Kerns, Kjetil Halvorsen, William Asquith for their useful comments/suggestions.
If you think information is not accurate or not complete, please let me know.
Base functionality:

Base R provides probability distribution functions
p
foo
()
density functions
d
foo
(), quantile functions
q
foo
(), and random number generation
r
foo
()
where
foo
indicates the type
of distribution:
beta (
foo
=
beta),
binomial
binom,
Cauchy
cauchy,
chisquared
chisq,
exponential
exp,
Fisher F
f,
gamma
gamma,
geometric
geom,
hypergeometric
hyper,
logistic
logis,
lognormal
lnorm,
negative binomial
nbinom,
normal
norm,
Poisson
pois,
Student t
t,
uniform
unif,
Weibull
weibull.
Following the same naming scheme, but somewhat less standard are the following distributions
in base R: probabilities of coincidences (also known as "birthday paradox")
birthday
(only p and q), studentized range distribution
tukey
(only p and q), Wilcoxon signed rank distribution
signrank, Wilcoxon
rank sum distribution
wilcox.

On base R distributions,
prob
provides the characteristic function, while
graphical methods for illustrating probability distributions can be found
in
denstrip.
Discrete distributions:

Basic distributions
: The binomial distribution (in particular
Bernoulli distribution) is already implemented in base R.
The discrete uniform
distribution can be easily obtained with the basic functions.
Dirac distribution is provided in
distr. Truncated versions of
the binomial and Poisson distributions as well as zeroinflated
versions of the binomial, Poisson and negative binomial distributions
are implemented in
VGAM. Zeroinflated Poisson distribution
is available in
gamlss.dist.
New parametrization of the negative binomial distribution and the bivariate
negative binomial distribution is available in
RMKdiscrete.

ConwayMaxwellPoisson distribution
: This can be found in
compoisson.

Delaporte distribution
: This can be found in
gamlss.dist
and
Delaporte.

(generalized) Hermite distribution
: This can be found in
hermite.

Hypergeometric distributions
: Extented hypergeometric distribution
can be found in
BiasedUrn
package, which provides
not only p, d, q, r functions but also mean, variance, mode functions.
Generalized hypergeometric distribution is implemented in
SuppDists.

Inverse Weibull distribution
:
DiscreteInverseWeibull
provides d, p, q, r functions for the
inverse Weibull as well as hazard rate function and moments.

Lagrangian Poisson distribution
:
RMKdiscrete
provides d, p, q, r functions for the
univariate and the bivariate Lagrangian Poisson distribution.

Logarithmic distribution
: This can be found in
VGAM
and
gamlss.dist. A fast random generator is
available for the logarithmic distribution
is implemented in
Runuran
as well as the 'density' function.

Mana Clash distribution
: This can be found in
RMKdiscrete.

Multinomial distribution
: This can be found in
mc2d,
LearnBayes
and
MCMCpack.

Sichel distribution
: This can be found in
gamlss.dist.

Zero inflated/modified (ZI/ZM) distributions
:
ZM (or Hurdle) Poisson, ZM logarithmic,
ZI/ZM negative binomial, ZI Poisson inverse Gaussian,
ZI/ZM binomial, ZI/ZM beta binomial distributions are
implemented in
gamlss.dist.

Zipf law
: Package
zipfR
provides tools for the Zipf and
the ZipfMandelbrot distributions.
VGAM
also implements the Zipf distribution.

Further distributions
: The
VGAM
package provides several
additional distributions, namely: Skellam, YuleSimon, Zeta and Haight's Zeta,
BorelTanner and Felix distribution.
Continuous distributions:

Arcsine distribution
: implemented in package
distr.

Beard distribution
:
ActuDistns
provide d, h, i, q functions
for the Beard and the MakehamBeard distributions.

Beta distribution and its extensions
: Base R provides
the d, p, q, r functions for this distribution (see above).
actuar
provides moments and limited expected values,
ActuDistns
provides hazard and integrated hazard rate functions.
It also provide the d, p, q, r functions for the generalized beta and
the inverse tranformed beta distribution. The zero and one inflated beta distribution
can be found in
gamlss.dist
as well as generalized beta of the first
and second kind. The
beta of the second kind and the generalized beta distribution
can also be found in
VGAM
and
mc2d. Several special cases of
the generalized beta distribution are also implemented in
VGAM:
Lomax, inverse Lomax, Dagum, Fisk (aka log logistic), (inverse or not)
paralogistic and SinghMaddala distribution and in
mc2d: Pert.

Benini distribution
: provided in
VGAM.

BirnbaumSaunders distribution
: provided in package
VGAM. The generalized BirnbaumSaunders distribution is implemented in
gbs.

Box Cox distributions
:
gamlss.dist
provides the BoxCox normal,
the BoxCox power exponential and the BoxCox t distributions.

Cardioid distribution
: provided in
VGAM.

Cauchy distribution
: Base R provides
the d, p, q, r functions for this distribution (see above). Other
implementations are available in
lmomco.

Chen distribution
: provided in
reliaR
and
ActuDistns.

Chi(squared or not) distributions
: Base R provides
the d, p, q, r functions for the chisquared distribution, both central
and noncentral (see above).
sadists
implements Gram Charlier, Edgeworth and CornishFisher approximations
for sums of non central chisquared distribution for computing d, p, q, r functions.
Moments, limited
expected values and the moment generating function are provided in
actuar.
Only d,r functions are available for the inverse chisquared distribution
in package
geoR. A fast random generator is available for the Chi distribution
is implemented in
Runuran
as well as the density function.
The noncentral Chi distribution is not yet implemented. The chibarsquared distribution
is implemented in
emdbook.

Davies distribution
: The Davies distribution is provided
in
Davies
package.

Dirichlet distribution
: functions d, r
are provided in
MCMCpack,
mc2d,
hyperdirichlet
and
bayesm. The generalized and the hyperdirichlet distributions are provided
in
hyperdirichlet.

Etamu distribution
: provided in
lmomco.

Exponential distribution and its extensions
: Base R provides the d, p, q, r functions
for this distribution (see above).
actuar
provides additional functions
such as the moment generating function, moments and limited expected values. It also has
the d, p, q, r for the inverse exponential distribution.
ActuDistns
provides hazard and integrated hazard rate functions.
The shifted and the
truncated exponential distributions are implemented in
lmomco
package with d, p, q, r functions.
d, p, q, r functions for the power and the skew power exponential type 14 distributions are implemented
in
gamlss.dist
and
lmomco.
reliaR
and
ActuDistns
provide
the generalized exponential, the inverse generalized exponential,
the logistic exponential, the MarshallOlkin Extended Exponential and
the exponential extension distributions.
A fast random generator is available for the power Exponential distribution
is implemented in
Runuran
as well as the density function.

Externally Studentized Midrange
:
Package
SMR
computes the studentized midrange distribution (d, p, q, r).

FisherSnedecor or F distribution
: Base R provides the d, p, q, r functions
for the F distribution, possibly with a noncentral parameter.
sadists
implements Gram Charlier, Edgeworth and CornishFisher approximations
for non central Fisher distribution for computing d, p, q, r functions.
Doubly noncentral F distribution does not seem to be implemented?
flexsurv
provides d, p, q, r functions as well as
hazard (h) and integrated hazard rate (i) functions for
the generalized F distribution.
ActuDistns
provides integrated hazard rate function
for generalized F distribution.

Frechet distribution
: provided in
VGAM,
RTDE
and
evd. A fast random generator is available for the Frechet distribution
is implemented in
Runuran
as well as the density function.

Friedman's Chi distribution
: provided in
SuppDists.

Gamma distribution and its extensions
: Base R provides
the d, p, q, r functions for this distribution (see above).
actuar
provides d, p, q, r functions for the inverse, the inverse
transformed and the log gamma distributions
while
ghyp
provides those functions for the variance gamma distribution.
VarianceGamma
provides d, p, q, r functions for the variance gamma distribution
as well as moments (skewness, kurtosis, ...).
ActuDistns
provides hazard (h) and integrated hazard rate (i) functions for gamma distribution,
q, h, i, q for the generalized gamma, the loggamma distributions.
VGAM
provides d, p, q, r functions of the log
gamma and the generalized gamma distribution. The generalized gamma distribution
can also be found in
gamlss.dist.
reliaR
provides
the log gamma distribution. See Pearson III for a threeparameter
gamma distribution with a location parameter.
flexsurv
provides d, p, q, r functions as well as
hazard (h) and integrated hazard rate (i) functions for
the generalized gamma distribution.

(Univariate) Gaussian (or normal) distribution and its extensions
: Base R provides
the d, p, q, r functions for this distribution (see above).
ActuDistns
provides hazard (h) and integrated hazard rate (i) functions.
The
truncnorm
package provides d, p, q, r functions for the truncated
univariate gaussian distribution as well as functions for the first two moments.
actuar
provides the moment generating function and moments.
lmomco
implements the generalized normal distribution.
The Exponentially modified Gaussian is available in
gamlss.dist
and
retimes.
VGAM,
ActuDistns
and
fBasics
also implement
the folded and the skewed normal distribution, and
fBasics
the normal inverse Gaussian and standardized
normal inverse Gaussian distributions.
CompQuadForm
provides the distribution function of quadratic forms
in normal variates.
NormalGamma
provides the density of the sum of a gaussian and a gamma random variables.
mvrtn
provides random variates for left/right truncated normal distributions.
csn
provides d, r functions for the closed skewnormal distribution.

(Multivariate) Gaussian (or normal) distribution and its extensions
: Base R provides
The multivariate Gaussian distribution is provided in the packages
mvtnorm
(d, r) and
mnormt
(d, p, r).
Futhermore,
tmvtnorm
implements the truncated
multivariate normal distribution;
sparseMVN
implements very
fast algorithms to compute the density and generate random variates of
a multivariate normal distribution for which the covariance matrix or precision matrix is sparse.
cmvnorm
implements the complex multivariate normal distribution (d, r).
Finally,
condMVNorm
implements d, p, r functions for the conditional multivariate
normal distribution.

General Error Distribution (also known as exponential power distribution)
:
provided in
normalp
and
fExtremes, see
exponential
item.

Generalized Extreme Value distribution
: provided in
lmomco
(d, p, q) ,
VGAM,
evd,
evir,
FAdist
and
fExtremes
(d, p, q, r). Both bivariate and
multivariate Extreme Value distributions as well as order/maxima/minima distributions
are implemented in
evd
(d, p, r).
evdbayes
provides some
additional functions for GEV distribution using MCMC.

Gompertz distribution
: provided in
reliaR,
ActuDistns,
flexsurv.
ActuDistns
and
flexsurv
also
provide hazard (h) and integrated hazard rate (i) functions.

Govindarajulu distribution
: provided in
lmomco.

Gumbel distribution
: provided in packages
lmomco,
VGAM,
gamlss.dist,
FAdist,
reliaR,
ActuDistns
and
evd.
ActuDistns
also provides hazard (h) and integrated hazard rate (i) functions.
A fast random generator is available for the Gumbel distribution
is implemented in
Runuran
as well as the density function.
The reverse Gumbel distribution is implemented in
lmomco
and
gamlss.dist.
The Gumbel II distribution is implemented in
ActuDistns.

Hjorth distribution
: provided in
ActuDistns.

Huber's least favourable distribution
: density and random
generator in package
smoothmest.

Hyperbolic distribuion
:
fBasics,
ghyp,
GeneralizedHyperbolic
and
HyperbolicDist
packages
provide d, p, q, r functions for the generalized hyperbolic distributions.
SkewHyperbolic
provides the skewed Hyperbolic Student tDistribution.
fBasics
also implements the standardized generalized Hyperbolic distribution.
A fast random generator is available for the hyperbolic distribution
is implemented in
Runuran
as well as the density function.

Hyperbolic sine distribution and extension
:
gamlss.dist
provides the sinh and the asinh distributions.
ihs
provides the asinh distribution.
Generalized Power Hyperbolic sine distributions are provided in
FatTailsR.

Inverse Gaussian distribution
:
d, p, q, and r functions of the inverse Gaussian are provided in
statmod,
SuppDists,
predfinitepop
and
STAR.
SuppDists
also provides a function that returns moments, skewness, kurtosis.
ActuDistns
provides d, q functions as well as (integrated) hazard function.
The generalized inverse gaussian distribution can be found in
gamlss.dist
and
HyperbolicDist. A random generator is available for the (generalized)
Inverse Gaussian distribution is implemented in
Runuran
as well as the density function.

Jshaped distribution
: provided in
ActuDistns.

Johnson distribution
: provided in
SuppDists.

Kappa distribution
: A 4parameter Kappa distribution is provided in
lmomco
and
FAdist.

Kappamu distribution
: provided in
lmomco.

Kendall's tau distribution
: provided in
SuppDists.

Kruskal Wallis distribution
: provided in
SuppDists.

Kumaraswamy distribution
: provided in packages
VGAM,
ActuDistns
and
lmomco.

(Tukey) Lambda distribution and its extensions
: The generalized Lambda
distribution (GLD) is well known for its wide range of shapes. There exists 3 kinds
of GLD in the literature: RS, FMKL and FM5. The following packages implement such distributions
(with d, p, q, r functions):
gld
provides the 3 kinds of GLD,
Davies
provides the RS type and
lmomco
provides the FMKL.
The original Tukey Lambda distribution can be obtained as a special
case of the generalized Lambda distribution.

Tukey's H distribution
: provided as a special case of
Lambert W x F distribution.

Lai distribution
: provided in
ActuDistns.

Lambert W x F distributions
:
LambertW
package provides
d, p, q, r functions as well as the first 4 central moments and a qqplot.

Laplace (also called double exponential distribution)
and asymetric Laplace distribution
: provided in
distr,
lmomco,
VGAM
and
HyperbolicDist
packages.
Asymetric Laplace distribution is implemented in
ald.
A fast random generator is available for the Laplace distribution
is implemented in
Runuran
as well as the density function.
smoothmest
implements the density and the random generator.

Linear failure rate distribution
: provided in
reliaR
and
ActuDistns.
ActuDistns
also provides hazard (h) and integrated hazard rate (i) functions.

Loglog distribution
: provided in
reliaR
and
ActuDistns.
ActuDistns
also provides hazard (h) and integrated hazard rate (i) functions.

Logistic distributions and its extensions
: Base R provides
the d, p, q, r functions for this distribution (see above).
ActuDistns
also provides hazard (h) and integrated hazard rate (i) functions.
actuar
provides d, p, q, r functions for
the log logistic (also called Fisk), the paralogistic and the inverse paralogistic distributions.
VGAM
package also implements these distributions plus
the bivariate logistic distribution.
The generalized logistic distribution (Type I, also known as skewlogistic distribution) is provided
in
lmomco,
sld
and
glogis.
FAdist
the loglogistic distribution with two and three parameters. Finally,
ActuDistns
implements the loglogistic distribution.

Lognormal distribution and its extensions
:
The log normal distribution is implemented in Base R (see above), but the 3parameter lognormal
distribution is available in
lmomco
and
FAdist.
ActuDistns
provides hazard (h) and integrated hazard rate (i) functions
for the lognormal distribution.
The package
loglognorm
implements d, p, q, r functions for the double lognormal distribution,
as well as the raw moment, the expected value and the variance functions.

Makeham distribution
: provided in
ActuDistns
as well as
MakehamBeard and MakehamPerks distributions.

Maxwell distribution
: provided in
VGAM.

MaxwellBoltzmannBoseEinsteinFermieDirac (MBBEFD) distribution
:
provided in
mbbefd. Note that the distribution is a
mixedtype distribution.

Nakagami distribution
: provided in
VGAM.

Pareto distribution
: d, p, q, r functions are implemented in
VGAM
for the Pareto distribution type IV (which includes Burr's distribution,
Pareto type III, Pareto type II (also called the lomax distribution) and
Pareto type I) and the (upper/lower) truncated Pareto distribution. In an actuarial
context,
actuar
provides d, p, q, r functions as well as moments and
limited expected values for the Pareto I and II, the inverse Pareto, the 'generalized pareto'
distributions, the Burr and the inverse Burr distributions. A fast random generator for the
Burr and the Pareto II distribution is implemented in
Runuran
as well as the density.
mgpd
provides the density for the multivariate generalized Pareto distribution
of type II, while
evd
provides the density for type I.
ActuDistns
also provides q, p, q, h functions of the Pareto II distribution and
the BurrX distribution.
lmomco,
evd,
fExtremes,
FAdist
and
evir
packages
implement the Generalized Pareto Distribution (from Extreme Value Theory), which is
depending the shape parameter's value a Pareto II distribution,
a shifted exponential distribution or a generalized beta I distribution.
ParetoPosStable
implements the Pareto positive stable distribution.
Finally, the extended Pareto distribution is implemented in
RTDE.

Pearson's distributions
: Pearson type III available
in
lmomco
and
FAdist.
A logPearson type III distribution is also available in
FAdist.
PearsonDS
provides the d, p, q, r functions as well as the first
four moments for the Pearson distributions: types I, II, III, IV, V, VI, VII.

Pearson's Rho distribution
: provided in
SuppDists.

Perks distribution
: provided in
ActuDistns
as well as
the MakehamPerks distribution.

Planck's distribution
: a random generator is available in
Runuran.

Phasetype distributions
: provided in
actuar, see also
PhaseType
for inference.

Power distributions
:
reliaR
and
ActuDistns
implement the
exponential power distribution.

Rayleigh distribution
: provided in packages
VGAM
and
lmomco. Generalized and logistic Rayleigh distributions are available in
reliaR
and
ActuDistns.

Rice distribution
: provided in
VGAM
and
lmomco.

Schabe distribution
: provided in
ActuDistns.

Slash distribution
: provided in
lmomco
and
VGAM.

Spearman's Rho distribution
: provided in
SuppDists.

stable distributions
: d, p, q, r functions are available in
fBasics
and
stabledist,
the functions use the approach of J.P. Nolan for general stable distributions.

Student distribution and its extensions
: Base R provides
the d, p, q, r functions for Student and non central Student distribution (see above).
sadists
implements Gram Charlier, Edgeworth and CornishFisher approximations
for non central Student distribution for computing d, p, q, r functions.
The skewed Student distribution is provided in
skewt,
sn
and
gamlss.dist
packages.
The generalized skew distribution is provided in
sgt.
d, p, q, r functions for the generalized tdistribution
can be found in
gamlss.dist.
fBasics
provides d, p, q, r functions
for the skew and the generalized hyperbolic tdistribution.
The Lmoments of the Student t (3parameter) are provided in
lmomco.
The multivariate Student distribution
is provided in the packages
mvtnorm
(d, r) and
mnormt
(d, p, r).

Triangle/trapezoidal distribution
: packages
triangle,
mc2d
and
VGAM
provide d, p, q, r functions for the triangle distribution, while the package
trapezoid
provides d, p, q, r functions for the Generalized Trapezoidal Distribution.
A fast random generator is available for the triangle distribution
is implemented in
Runuran
as well as the density function.

Tsallis or qExponential distribution
:
tsallisqexp
provides d, p, q, r functions for two parametrizations of
the Tsallis distribution and also implements a leftcensored version.

Tweedie distribution
: the Tweedie distribution is implemented
in package
tweedie. Let us note that the Tweedie distribution
is not necessarily continuous, a special case of it is the Poisson distribution.

Uniform distribution
: d, p, q, r functions are of course provided
in R. See section RNG for random number generation topics.
ActuDistns
provides hazard and integrated hazard rate functions.
HI
generates
uniformly random points on a bounded convex set, in particular the unit ball.

Wakeby distribution
: A 5parameter Wakeby is provided in
lmomco.

Weibull distribution and its extensions
: Base R provides
the d, p, q, r functions for this distribution (see above).
The inverse Weibull is provided in
actuar
package and also the moments
and the limited expected value for both the raw and the inverse Weibull distribution.
FAdist
implements the threeparameter Weibull distribution, while
reliaR
and
ActuDistns
implement the exponential Weibull, the flexible Weibull,
the generalized power weibull, the MarshallOlkin Extended Weibull and
the Weibull extension distributions.
Finally,
lmomco
implements the Weibull distribution while
evd
implements the reverse Weibull distribution. d, p, q, r functions for
the reverse generalized extreme value distribution are provided in
gamlss.dist.

Xie distribution
: provided in
ActuDistns.
Mixture of probability laws (and composite):

Cauchypolynomial quantile mixture
: d, p, q, r functions are
provided in
Lmoments.

composite lognormal distribution
: d, p, q, r functions are
provided in
CompLognormal.

Gaussian mixture
: Functions d, r are provided in
mixtools
package when dealing with finite mixture models.
nor1mix
provides
d, p, r functions for Gaussian mixture.

Gamma mixture
: Gamma shape mixtures are implemented (d, p, r)
in the
GSM
package.

Generic mixtures
: there is an implementation via S4class
UnivarMixingDistribution in package
distr.
gamlss.mx
uses the
gamlss.dist
package.

Normalpolynomial quantile mixture
: d, p, q, r functions are
provided in
Lmoments.

Poisson Binomial distribution
:
poibin
implements
the Poisson Binomial distribution.

Poisson lognormal distribution
:
poilog
implements
the Poisson lognormal distribution.

PoissonTweedie exponential family models
: provided in
poistweedie.

Student mixture
: The
AdMit
package provides d, r functions
for Student mixtures in the context of Adaptive Mixture of Studentt distributions.

von Mises Fisher (or Langevin) mixture
: The
movMF
package provides d, r functions
for finite von Mises Fisher mixtures.
Exponentiated and tranformation of distributions:

Exponentiated distributions
are not yet implemented.

G transformed distribution
are implemented in
Newdistns
which includes Marshall Olkin G distributions, exponentiated G distributions,
beta G distributions, gamma G distributions, Kumaraswamy G distributions,
generalized beta G distributions, beta extended G distributions, gamma G distributions,
gamma uniform G distributions, beta exponential G distributions, Weibull G distributions,
log gamma G I distributions, log gamma G II distributions, exponentiated generalized G
distributions, exponentiated Kumaraswamy G distributions, geometric exponential Poisson
G distributions, truncatedexponential skewsymmetric G distributions, modified beta
G distributions, and exponentiated exponential Poisson G distributions.
Moments, skewness, kurtosis and etc:

Empirical moments
: base R provides
mean(),
sd(),
var()
functions to compute
the mean, standard deviation and variance, respectively.
The skewness is available in
agricolae,
e1071,
GLDEX,
HyperbolicDist,
modeest,
moments,
npde,
TSA,
s20x,
DistributionUtils
packages.
The kurtosis is available in
agricolae,
DistributionUtils,
e1071,
GLDEX,
HyperbolicDist,
moments,
npde,
TSA
packages.
The raw or centered moments are provided in
e1071,
moments.
Lmoments are available in
lmom,
lmomco,
Lmoments,
GLDEX,
trimmed Lmoments are available in
lmomco, and
Lmoments,
rightcensored Lmoments are available in
lmomco,
and cumulants in
GLDEX.

Mode estimation
:
Package
modeest
provides mode estimation for various distributions.

Theoretical moments
:
The
actuar
package implements raw moments, limited expected values
and moment generating function for base R distributions.
HyperbolicDist
provides the mean, variance, skewness, kurtosis, mode,
raw and centered moments for the hyperbolic, the generalized hyperbolic and the
generalized inverse Gaussian distributions.
mvrtn
provides mean, variance for left/right truncated normal distributions.
lmomco
provides Lmoments (L), trimmed Lmoments (TL), and rightcensored [RC] for
the following distributions: Asymmetric Exponential Power (L), Cauchy (TL), EtaMu (L),
Exponential (L), Gamma (L), Generalized Extreme Value (L), Generalized Lambda (L and TL),
Generalized Logistic (L), Generalized Normal (L), Generalized Pareto (L[RC] and TL),
Govindarajulu (L), Gumbel (L), Kappa (L), KappaMu (L), Kumaraswamy (L), Laplace (L),
Normal (L), 3parameter logNormal (L), Pearson Type III (L), Rayleigh (L), Reverse Gumbel
(L[RC]), Rice/Rician (L), Slash (TL), 3parameter Student T (L), Truncated Exponential
(L), Wakeby (L), and Weibull (L). Multivariate Lmoments (Lcomoments).
Random matrices:

Wishart and inverse Wishart distributions
:
Base R provides the r function for the Wishart distribution.
the d, r functions are provided in
MCMCpack
and
bayesm.

MarcenkoPastur distribution
:
provided in
RMTstat,
MCMCpack
and
bayesm.

TracyWidom distribution
:
provided in
RMTstat,
MCMCpack
and
bayesm: supported beta values
are 1 (Gaussian Orthogonal Ensemble), 2 (Gaussian Unitary Ensemble),
and 4 (Gaussian Symplectic Ensemble).

Wishart distribution
:
provided in
RMTstat.

Spiked Wishart Maximum Eigenvalue Distributions
:
provided in
RMTstat,
MCMCpack
and
bayesm.

White Wishart Maximum Eigenvalue Distribution
:
provided in
RMTstat,
MCMCpack
and
bayesm.
Copulas:

Unified approaches
:
The packages
fCopulae,
copula, and
copBasic
provide a lot of
general functionality for copulas. Although lacking support for
many existing copulas themselves,
copBasic
is primarily oriented
around utility functions for the general mathematics of copulas
as described in the well known introduction to copulas by Nelsen.

Archimedean copulas
: The Frank bivariate distribution
is available in
VGAM,
RTDE.
fCopulae
implements the 22 Archimedean
copulas of Nelsen (1998,
Introduction to Copulas
, SpringerVerlag) including
Gumbel, Frank, Clayton, and AliMikhailHaq.
gumbel
is a
standalone package for the Gumbel copula and
VGAM
provides the AliMikhailHaq bivariate distribution.
copula
provides
AliMikhailHaq, Clayton, Frank, Gumbel and Joe copulas.
CDVine
and
VineCopula
provide
Clayton, Gumbel, Frank, Joe, BB1, BB6, BB7 and BB8 copulas.
Generalized Archimedean copulas are implemented in the
fgac
package.

Blomqvist copula
: provided in
copBasic.

Composition of copula
:
copBasic
provides functions
for composition of a single symmetric copula and composition of two copulas.

Cubic copula
: Not yet implemented?

Dirichlet copula
: Not yet implemented?

Empirical copula
: provided in
copBasic.

Elliptical copulas
: Gaussian, Student and Cauchy copulas are implemented in
fCopulae
for the bivariate cases.
copula,
CDVine,
VineCopula
provide the Gaussian and the Student copula.

Extreme value copulas
:
fCopulae
provides the following copulas
Gumbel, Galambos, HuslerReiss, Tawn, or BB5.
copula
implements
Gumbel, Galambos and HuslerReiss.

EyraudFarlieGumbelMorgenstern copula
: provided in
VGAM,
RTDE,
and
copula.

Mardia copula
: Not yet implemented?

Nested copulas
: arbitrary nested versions of copulas can
be implemented in
copula.

Plackett
: provided in
VGAM,
copBasic
and
copula.

Vine copulas
: Packages
CDVine,
VineCopula
provide functions for C and Dvine copulas and for general
Rvine copulas, respectively.
Random Number Generators:

Basic functionality
: R provides several random number generators (RNGs).
The random seed can be provided via
set.seed
and the kind of RNG can be specified
using
RNGkind. The default RNG is the MersenneTwister algorithm.
Other generators include WichmannHill, MarsagliaMulticarry, SuperDuper,
KnuthTAOCP, KnuthTAOCP2002, as well as usersupplied RNGs. For normal
random numbers, the following algorithms are available: KindermanRamage,
AhrensDieter, BoxMuller, Inversion (default). In addition to the tools above,
setRNG
provides an easy way to set, retain information about the setting, and reset the RNG.

Pseudorandomness
:
RDieHarder
offers several dozen new RNGs
from the GNU GSL.
randtoolbox
provides
more recent RNGs such as SF MersenneTwister and WELL,
which are generators of Mersenne Twister type, but with
improved quality parameters.
rngwell19937
provides one of the WELL generators with 53 bit
resolution of the output and allows seeding by a vector
of integers of arbitrary length.
randaes
provides the deterministic part of the Fortuna cryptographic
pseudorandom number generator (AES).
SuppDists
implements two RNGs of G. Marsaglia.

Support for several independent streams:
rsprng
implements Scalable Parallel RNGs library.
rstream
focuses on multiple independent streams of random numbers
from different sources (in an object oriented approach).

For nonuniform generation, the
Runuran
package interfaces to the UNU.RAN library for universal nonuniform generation
as well as customised distributions based on polynomial interpolation of the inverse
cumulative distribution function.

Quasirandomness
: The
randtoolbox
provides
the following quasi random sequences: the Sobol sequence, the Halton
(hence Van Der Corput) sequence and the Torus sequence (also known as Kronecker
sequence).
lhs
and
mc2d
packages implement the latin hypercube sampling,
an hybrid quasi/pseudo random method.

True randomness
: The
random
package provides several functions that access the
true random number service at
random.org
.

RNG tests
:
RDieHarder
offers
numerous tests of RNGs based on a
reimplementation and extension of Marsaglia's DieHarder battery.
randtoolbox
provides basic RNG tests.

Parallel computing
:
Randomnumber generators for parallel computing are available via
the
rsprng
package and the
rlecuyer
package.
See the
HighPerformanceComputing
task view for more details.
Miscellaneous:

Computation
:

Approximation of d, p, q, r functions
:
PDQutils
provides tools for computing the density, cumulative distribution,
and quantile functions of a distribution when the cumulants or moments are given,
using the classical Gram Charlier, Edgeworth and CornishFisher approximations.
sadists
is a showcase for PDQutils, providing density, cumulative distribution,
quantile, and random generation for the doubly noncentral t, doubly noncentral F,
Kprime, Lambdaprime, Upsilon, and sum of (noncentral) chisquares to powers
distributions.

For nonuniform generation, see the
Runuran
above.

Benchmark
: A set of 28 densities suitable for comparing
nonparametric density estimators in simulation studies can be found
in the
benchden
package. The densities vary greatly in degree of
smoothness, number of modes and other properties. The package
provides d,p,q and r functions.

Non parametric models
:

Binned Empirical distributions
: The
HistogramTools
package
provides a number of methods for manipulating empirical data that has
been binned into histogram form, including: (1) the empirical
cumulative distribution function, (2) the empirical quantile, and (3)
information loss metrics associated with binning.

Empirical distribution
: Base R provides functions for univariate analysis:
(1) the empirical density (see density()), (2) the empirical cumulative
distribution function (see ecdf()), (3) the empirical quantile (see quantile())
and (4) random sampling (see sample()).

Non Parametric distributions
:
spd
provides the Semi Parametric Piecewise Distribution, while
fBasics
implements spline smoothed distributions.

Hierarchical models
: Distributions whose some parameters
are no longer constant but random according to a particular distribution.
VGAM
provides a lot of hierarchical models: beta/binomial,
beta/geometric and beta/normal distributions.
bayesm
implements: binary logit, linear, multivariate logit and negative binomial
models. Furthermore
LearnBayes
and
MCMCpack
provides poisson/gamma, beta/binomial,
normal/normal and multinomial/Dirichlet models.

Distribution handling
:

Objectorientation
:
General discrete and continuous distributions are implemented in package
distr
respectively via S4class DiscreteDistribution and
AbscontDistribution providing the classic d, p, q and r functions.
distrEx
extends available distributions to multivariate and conditional distributions as well
as methods to compute useful statistics (expectation, variance,...) and distances
between distributions (Hellinger, Kolmogorov,... distance). Finally
package
distrMod
provides functions for the computation of minimum
criterion estimators (maximum likelihood and minimum distance estimators). See other
packages of the distrfamily (distrSim,
distrTEst,
distrTeach,
distrDoc,
distrEllipse).

Transformation
: Lebesgue decomposition are implemented
in
distr, as well as Convolution, Truncation and Huberization of distributions.
Furthermore,
distr
provides distribution of the maximum or minimum
of two distributions. See Objectorientation above.

User Interface
:
AtelieR
package provides a GTK GUI for teaching basic
concepts in statistical inference, implementing all the R base distributions
as well as the generalized Student, the inverse Chisquare, the inverse gamma
and the lambdaprime distributions.

Transversal functions
:

Histogram, tail plots, distance estimation
:
DistributionUtils
provides loghistogram,
tail plots, functions for testing distributions using inversion tests and the Massart inequality.
GMD
is a package for nonparametric distance measurement
between two discrete frequency distributions.

Paremeter estimation
:
lmomco
and
Lmoments
focus on
univariate/multivariate (L)moments estimation.
VGAM
provides a lot of parameter
estimation for usual and "exotic" distributions.
gaussDiff
provides a collection difference measures for
multivariate Gaussian probability density functions
Package
MASS
implements the flexible
fitdistr
function for parameter estimations.
fitdistrplus
greatly enlarges and enhances
the tools to fit probability distributions.
flexsurv
and
msm
provides a quantile
function for a generic distribution based on numerical
computation based on a dichotomic search.