copula
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Copula (Multivariate Dependence with Copulas)
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)- Omisc
- Tests of independence among continuous random vectors based on Cramér-von Mises functionals of the empirical copula process
- MCARtest
- RGENERATEPREC
- drought
- VC2copula
- gnn
- Detecting changes in cross-sectional dependence in multivariate time series
- A continuous updating weighted least squares estimator of tail dependence in high dimensions
- ClustImpute
- An extended empirical saddlepoint approximation for intractable likelihoods
- mobirep
- EVIM
- Optimal rates for independence testing via U-statistic permutation tests
- WWR
- CompAREdesign
- survivalMPLdc
- expectgee
- MixedIndTests
- expectreg
- hidetify
- eventstudies
- ABCExtremes
- ellipticalsymmetry
- mnonr
- discnorm
- covsim
- poolr
- ExtremeRisks
- Copula.surv
- USP
- mvnormalTest
- Linkages
- depcoeff
- cascsim
- COST
- CopCTS
- nCopula
- bivgeom
- Some results on change-point detection in cross-sectional dependence of multivariate data with changes in marginal distributions
- sgee
- vfcp
- flood
- pgee.mixed
- censorcopula
- PortRisk
- cases
- boinet
- Model selection and model averaging after multiple imputation
- Estimation of risk measures in energy portfolios using modern copula techniques
- GEE for longitudinal ordinal data: comparing R-geepack, R-multgee, R-repolr, SAS-GENMOD, SPSS-GENLIN
- An estimator of the stable tail dependence function based on the empirical beta copula
- mvtnorm
- Some copula inference procedures adapted to the presence of ties
- Bivariate copula additive models for location, scale and shape
- Robust estimators and tests for bivariate copulas based on likelihood depth
- Inference for asymptotically independent samples of extremes
- Hierarchical Archimax copulas
- Two simple algorithms on linear combination of multiple biomarkers to maximize partial area under the ROC curve
- Probabilistic slope stability analysis by a copula-based sampling method
- Compound unimodal distributions for insurance losses
- tseries
- Estimation of hierarchical Archimedean copulas as a shortest path problem
- Tests for comparison of multiple endpoints with application to omics data
- mnormt
- A limit distribution of credit portfolio losses with low default probabilities
- Dependence measures for perturbations of copulas
- Extraction dependence structure of distorted copulas via a measure of dependence
- A comparison of dependence function estimators in multivariate extremes
- Simulation and evaluation of the distribution of interest rate risk
- Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems
- Analyzing dependent data with vine copulas. A practical guide with R
- CPOLY
- Generators of copulas and aggregation
- Weak convergence of the weighted empirical beta copula process
- On the estimation of Pareto fronts from the point of view of copula theory
- Risk- and value-based management for non-life insurers under solvency constraints
- Copula-based slope reliability analysis using the failure domain defined by the \(g\)-line
- nacopula
- CORSIKA
- Shrinkage averaging estimation
- Capacity management under uncertainty with inter-process, intra-process and demand interdependencies in high-flexibility environments
- gcmr
- acopula
- MATEDA
- On weak conditional convergence of bivariate Archimedean and extreme value copulas, and consequences to nonparametric estimation
- copula
- BMA
- Dependence properties and Bayesian inference for asymmetric multivariate copulas
- energy
- Rank-based inference tools for copula regression, with property and casualty insurance applications
- Smooth copula-based estimation of the conditional density function with a single covariate
- Score tests for covariate effects in conditional copulas
- VineCopula
- CDVine
- ghyp
- POT
- pyvine: the Python package for regular vine copula modeling, sampling and testing
- lmom
- homtest
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