copula
swMATH14499CRANcopulaMaRDI QIDQ26399FDOQ26399
Multivariate Dependence with Copulas
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
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)
- EVIM
- mnormt
- MCMC4Extremes: an R package for Bayesian inference for extremes and its extensions
- Linkages
- mvtnorm
- tseries
- CPOLY
- nacopula
- CORSIKA
- gcmr
- multcomp
- numDeriv
- gsl
- SpatialNP
- trust
- pbkrtest
- permute
- energy
- acopula
- MATEDA
- copula
- BMA
- CDVine
- ghyp
- homtest
- lmom
- POT
- VineCopula
- ChainLadder
- AutoDock
- RMetrics
- evir
- MADE4
- copulaedas
- EFDR
- HAC
- mvShapiroTest
- QRM
- lawstat
- pcaPP
- evd
- SpatialExtremes
- texmex
- TwoCop
- WeightedPortTest
- cds
- evdbayes
- Rugarch
- fExtremes
- Iavaan
- gRapHD
- pspline
- CopulaRegression
- npcp
- PBC
- TestEVC1d
- aod
- SDD
- lmomco
- qrmtools
- gofCopula
- copBasic
- CopulaDTA
- Ckmeans.1d.dp
- fitdistrplus
- MCMC4Extremes
- ggpubr
- spd
- vines
- normtest
- extraDistr
- curatedOvarianData
- ROAST
- mipfp
- extRemes
- matrixcalc
- simsalapar
- rvinecopulib
- progress
- dfphase1
- IndependenceTests
- ReporteRs
- surrosurv
- pacotest
- PivotalR
- CoClust
- A continuous updating weighted least squares estimator of tail dependence in high dimensions
- An extended empirical saddlepoint approximation for intractable likelihoods
- Likelihood inference for Archimedean copulas in high dimensions under known margins
- Bivariate copula additive models for location, scale and shape
- pyvine: the Python package for regular vine copula modeling, sampling and testing
- A general approach to generate random variates for multivariate copulae
- ExtremalDep
- kdecopula
- qrng
- MVN
- evt0
- esaddle
- Copula.Markov
- fCopulae
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