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
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)
- Statistical arbitrage with vine copulas
- Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models
- Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation
- Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables
- A comparison of dependence function estimators in multivariate extremes
- A limit distribution of credit portfolio losses with low default probabilities
- Some copula inference procedures adapted to the presence of ties
- Estimation of hierarchical Archimedean copulas as a shortest path problem
- Title not available (Why is that?)
- Combining Cumulative Sum Change‐Point Detection Tests for Assessing the Stationarity of Univariate Time Series
- GEE for longitudinal ordinal data: comparing R-geepack, R-multgee, R-repolr, SAS-GENMOD, SPSS-GENLIN
- Compound unimodal distributions for insurance losses
- Generators of copulas and aggregation
- Integrated bank risk modeling: a bottom-up statistical framework
- Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems
- An estimator of the stable tail dependence function based on the empirical beta copula
- Weak convergence of the weighted empirical beta copula process
- Simultaneous inference for Kendall's tau
- Using Copulas to Model Time Dependence in Stochastic Frontier Models
- A semiparametric estimation of copula models based on the method of moments
- On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators
- Comparison of three semiparametric methods for estimating dependence parameters in copula models
- A subcopula based dependence measure
- Analysis of directional dependence using asymmetric copula-based regression models
- A new GEE method to account for heteroscedasticity using asymmetric least-square regressions
- Estimating equations and diagnostic techniques applied to zero-inflated models for panel data
- Heavy-tailed longitudinal data modeling using copulas
- Selection of Vine Copulas
- Two simple algorithms on linear combination of multiple biomarkers to maximize partial area under the ROC curve
- Penalized marginal likelihood estimation of finite mixtures of Archimedean copulas
- Nonparametric inference for max-stable dependence
- Smooth bootstrapping of copula functionals
- Smooth copula-based estimation of the conditional density function with a single covariate
- How general is the Vale-Maurelli simulation approach?
- A software review for extreme value analysis
- Tests for comparison of multiple endpoints with application to omics data
- Simulation and evaluation of the distribution of interest rate risk
- Approximate Bayesian conditional copulas
- A class of multivariate copulas based on products of bivariate copulas
- Capacity management under uncertainty with inter-process, intra-process and demand interdependencies in high-flexibility environments
- Inference for asymptotically independent samples of extremes
- A vine copula approach for regression analysis of bivariate current status data with informative censoring
- Adaptive importance sampling for simulating copula-based distributions
- Extraction dependence structure of distorted copulas via a measure of dependence
- Truncation invariant copulas and a testing procedure
- Testing marginal homogeneity of a continuous bivariate distribution with possibly incomplete paired data
- Copula directed acyclic graphs
- Multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case
- Estimating Archimedean copulas in high dimensions
- Multivariate goodness-of-fit tests based on Wasserstein distance
- Estimation of risk measures in energy portfolios using modern copula techniques
- A goodness-of-fit test for regular vine copula models
- Additive generators of copulas
- discnorm
- pyvine: the Python package for regular vine copula modeling, sampling and testing
- Score tests for covariate effects in conditional copulas
- Flexible copula density estimation with penalized hierarchical B-splines
- A general approach to generate random variates for multivariate copulae
- MCMC4Extremes: an R package for Bayesian inference for extremes and its extensions
- copulaedas
- EFDR
- HAC
- cds
- gofCopula
- vines
- surrosurv
- CoClust
- ExtremalDep
- GJRM
- CoImp
- gamCopula
- tailDepFun
- lcopula
- BSL
- NCSCopula
- HMMcopula
- zipfextR
- A continuous updating weighted least squares estimator of tail dependence in high dimensions
- An extended empirical saddlepoint approximation for intractable likelihoods
- Graphical tests of independence for general distributions
- Likelihood inference for Archimedean copulas in high dimensions under known margins
- good
- nvmix
- svars
- qad
- RCTrep
- TempStable
- Estimating scale-invariant directed dependence of bivariate distributions
- PPMiss
- LMMstar
- ClusterStability
- PAsso
- SubTS
- dsfa
- Likelihood estimators for multivariate extremes
- gasmodel
- CopulaCenR
- Kcop
- cylcop
- WINS
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