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 <maechler at stat.math.ethz.ch>

Author(s): Marius Hofert <marius.hofert at uwaterloo.ca>, Ivan Kojadinovic <ivan.kojadinovic at univ-pau.fr>, Martin Maechler <maechler at stat.math.ethz.ch>, and Jun Yan <jun.yan at uconn.edu>

Install package and any missing dependencies by running this line in your R console:

install.packages("copula")


Package copula
Materials
URL http://copula.r-forge.r-project.org/
Task Views Distributions , ExtremeValue , Finance , Multivariate
Version 0.999-17
Published 2017-06-18
License GPL (>= 3) | file LICENCE
BugReports
SystemRequirements
NeedsCompilation yes
Citation
CRAN checks copula check results
Package source copula_0.999-17.tar.gz