Classes (S4) of commonly used elliptical, Archimedean, extreme value and some more copula families. Methods for density, distribution, random number generation, bivariate dependence measures, perspective and contour plots. Fitting copula models including variance estimates. Independence and serial (univariate and multivariate) independence tests, and other copula related tests. Empirical copula and multivariate CDF. Goodness-of-fit tests for copulas based on multipliers, the parametric bootstrap with several transformation options. Merged former package 'nacopula' for nested Archimedean copulas: Efficient sampling algorithms, various estimators, goodness-of-fit tests and related tools and special functions.
| Version: | 0.999-14 |
| Depends: | R (≥ 3.0.1) |
| Imports: | stats, graphics, methods, stats4, Matrix, lattice, colorspace, gsl, ADGofTest, stabledist (≥ 0.6-4), mvtnorm, pspline |
| Suggests: | MASS, KernSmooth, sfsmisc, scatterplot3d, Rmpfr, bbmle, knitr, parallel, mvnormtest, partitions, polynom, randtoolbox, rugarch, Runuran, tseries, VGAM, VineCopula, zoo |
| Enhances: | nor1mix |
| Published: | 2015-10-26 |
| 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, Finance, Multivariate |
| CRAN checks: | copula results |
| 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 Franknacopula copula Rho_AMH_beautiful |
| Package source: | copula_0.999-14.tar.gz |
| Windows binaries: | r-devel: copula_0.999-14.zip, r-release: copula_0.999-14.zip, r-oldrel: copula_0.999-14.zip |
| OS X Snow Leopard binaries: | r-release: copula_0.999-14.tgz, r-oldrel: copula_0.999-13.tgz |
| OS X Mavericks binaries: | r-release: copula_0.999-14.tgz |
| Old sources: | copula archive |
| Reverse depends: | BivarP, ClusterStability, CoClust, CoImp, gofCopula, HAC, HiDimMaxStable, lcopula, RGENERATEPREC, RMRAINGEN, SemiParSampleSel, vines |
| Reverse imports: | apt, cds, copulaedas, PortRisk, VineCopula |
| Reverse suggests: | aftgee, docopulae, mbbefd, npcp, qrmtools, simcausal, simsalapar, simsem |