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.

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Description file content

Package
copula
Version
0.999-18
VersionNote
Last CRAN: 0.999-17 on 2017-06-17
Date
2017-08-31
Title
Multivariate Dependence with Copulas
Author
Marius Hofert , Ivan Kojadinovic , Martin Maechler , and Jun Yan
Maintainer
Martin Maechler
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
SuggestsNote
the last lines' packages {parallel, ..., zoo} are only used in vignettes, demos and few tests.
Enhances
nor1mix
Description
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.
License
GPL (>= 3) | file LICENCE
ByteCompile
yes
VignetteBuilder
knitr
Collate
AllClass.R Classes.R AllGeneric.R Auxiliaries.R aux-acopula.R asymCopula.R mixCopula.R rotCopula.R Copula.R special-func.R amhCopula.R claytonCopula.R frankCopula.R cop_objects.R nacopula.R dC-dc.R amhExpr.R An.R archmCopula.R cCopula.R claytonExpr.R ellipCopula.R empcop.R empPsi.R acR.R estimation.R evCopula.R evTests.R exchTests.R fgmCopula.R fitCopula.R fitLambda.R fitMvdc.R fixedPar.R frankExpr.R galambosCopula.R galambosExpr-math.R galambosExpr.R ggraph-tools.R pairsRosenblatt.R prob.R gofTrafos.R gofEVTests.R gofCopula.R graphics.R gumbelCopula.R gumbelExpr.R huslerReissCopula.R huslerReissExpr.R indepCopula.R indepTests.R joeCopula.R K.R logseries.R mvdc.R margCopula.R matrix_tools.R normalCopula.R opower.R plackettCopula.R plackettExpr.R rstable1.R safeUroot.R schlatherCopula.R stable.R timing.R tCopula.R tawnCopula.R tawnExpr.R tevCopula.R varianceReduction.R wrapper.R xvCopula.R zzz.R
Encoding
UTF-8
URL
NeedsCompilation
yes
Packaged
2017-08-31 15:24:16 UTC; maechler
Repository
CRAN
Date/Publication
2017-09-01 11:33:14 UTC

install.packages('copula')

0.999-18

a month ago

http://copula.r-forge.r-project.org/

Martin Maechler

GPL (>= 3) | file LICENCE

Depends on

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

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