copula

swMATH14499CRANcopulaMaRDI QIDQ26399FDOQ26399

Authors Jun Yan, Ivan Kojadinovic, Marius Hofert, Martin Maechler

Last update 7 December 2023

Copyright license GNU General Public License, File License

Software version identifier 1.1-2, 0.2-1, 0.2-3, 0.3-1, 0.3-4, 0.3-5, 0.3-6, 0.3-7, 0.3-8, 0.3-9, 0.3-10, 0.4-1, 0.5-3, 0.5-7, 0.5-8, 0.6-1, 0.6-6, 0.7-5, 0.7-6, 0.8-0, 0.8-3, 0.8-7, 0.8-8, 0.8-9, 0.8-10, 0.8-12, 0.9-2, 0.9-3, 0.9-4, 0.9-5, 0.9-6, 0.9-7, 0.9-9, 0.99-0, 0.99-1, 0.99-2, 0.99-4, 0.999-0, 0.999-1, 0.999-2, 0.999-3, 0.999-4, 0.999-5, 0.999-6, 0.999-7, 0.999-8, 0.999-9, 0.999-10, 0.999-11, 0.999-12, 0.999-13, 0.999-14, 0.999-15, 0.999-16, 0.999-17, 0.999-18, 0.999-19.1, 0.999-19, 0.999-20, 1.0-0, 1.0-1, 1.1-0, 1.1-1, 1.1-3

Official website https://cran.r-project.org/web/packages/copula/index.html

Source code repository https://github.com/cran/copula

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.

Cited in

(only showing first 100 items - show all)

• A general approach to generate random variates for multivariate copulae
• pyvine: the Python package for regular vine copula modeling, sampling and testing
• Graphical tests of independence for general distributions
• CoClust
• ExtremalDep
• kdecopula
• qrng
• MVN
• evt0
• esaddle
• Copula.Markov
• fCopulae
• fMultivar
• Gumbel
• subcopem2D
• GJRM
• birch
• fractal
• locits
• CoImp
• BootWPTOS
• mAr
• costat
• SimCop
• simcausal
• simsem
• gamCopula
• ltsa
• cdfquantreg
• MultiSkew
• insuranceData
• ARC
• ReIns
• dHSIC
• erboost
• tailDepFun
• NORTARA
• k.c
• penRvine
• condMVNorm
• Quantlib
• testforDEP
• copulaData
• lcopula
• BSL
• PowerPoint
• CDVineCopulaConditional
• qrmdata
• pencopulaCond
• pyvinecopulib
• CreditRisk+
• MAMI
• lcmix
• NCSCopula
• HACopula
• HMMcopula
• spsurv
• OctSymPy
• zipfextR
• ResourceSelection
• fastAdaboost
• RareMaxima
• steadyICA
• ARCHModels.jl
• CorrPoisson
• bvcopula
• good
• nvmix
• pyvine
• qad
• extremefit
• CopulaModel
• NonNorMvtDist
• IndepTest
• bigsimr
• XICOR
• SWIM
• QuantLib
• RCTrep
• TempStable
• Flexible copula density estimation with penalized hierarchical B-splines
• Detecting changes in cross-sectional dependence in multivariate time series
• discnorm
• covsim
• Copula.surv
• poolr
• Analyzing dependent data with vine copulas. A practical guide with R
• Some results on change-point detection in cross-sectional dependence of multivariate data with changes in marginal distributions
• ellipticalsymmetry
• Estimating scale-invariant directed dependence of bivariate distributions
• A goodness-of-fit test for bivariate extreme-value copulas
• Elements of Copula Modeling with R
• Partial and average copulas and association measures
• Detecting breaks in the dependence of multivariate extreme-value distributions
• Likelihood estimators for multivariate extremes
• Optimal rates for independence testing via \(U\)-statistic permutation tests
• Improved kernel estimation of copulas: weak convergence and goodness-of-fit testing
• On tests for symmetry and radial symmetry of bivariate copulas towards testing for ellipticity
• Tests of independence among continuous random vectors based on Cramér-von Mises functionals of the empirical copula process
• The empirical beta copula

This page was built for software: copula