Multivariate Dependence with Copulas

Documentation for package ‘copula’ version 0.999-14

DESCRIPTION file.
User guides, package vignettes and other documentation.
Code demos. Use demo() to run them.
Package NEWS.

Help Pages

A B C D E F G H I J K L M N O P Q R S T U V misc

copula-package

Multivariate Dependence Modeling with Copulas

-- A --

A	Generator Functions for Archimedean and Extreme-Value Copulas
A-method	Generator Functions for Archimedean and Extreme-Value Copulas
A-methods	Generator Functions for Archimedean and Extreme-Value Copulas
A..Z	Sinc, Zolotarev's, and Other Mathematical Utility Functions
absdPsiMC	Absolute Value of Generator Derivatives via Monte Carlo
acopula	Class "acopula" of Archimedean Copula Families
acopula-class	Class "acopula" of Archimedean Copula Families
acopula-families	Specific Archimedean Copula Families ("acopula" Objects)
Afun	Generator Functions for Archimedean and Extreme-Value Copulas
AfunDer	Generator Functions for Archimedean and Extreme-Value Copulas
allComp	All Components of a (Inner or Outer) Nested Archimedean Copula
amhCopula	Construction of Archimedean Copula Class Object
amhCopula-class	Class "archmCopula"
An	Nonparametric Rank-based Estimators of the Pickands Dependence Function
An.biv	Nonparametric Rank-based Estimators of the Pickands Dependence Function
Anfun	Nonparametric Rank-based Estimators of the Pickands Dependence Function
archmCopula	Construction of Archimedean Copula Class Object
archmCopula-class	Class "archmCopula"

-- B --

Bernoulli	Compute Bernoulli Numbers
Bernoulli.all	Compute Bernoulli Numbers
beta.	Sample and Population Version of Blomqvist's Beta for Archimedean Copulas
beta.hat	Sample and Population Version of Blomqvist's Beta for Archimedean Copulas
betan	Sample and Population Version of Blomqvist's Beta for Archimedean Copulas

-- C --

C.n	The Empirical Copula
cacopula	Conditional Copula Function
calibKendallsTau	Dependence Measures for Bivariate Copulas
calibSpearmansRho	Dependence Measures for Bivariate Copulas
cCopula	Conditional Copula Function
claytonCopula	Construction of Archimedean Copula Class Object
claytonCopula-class	Class "archmCopula"
Cn	The Empirical Copula
coef.fittedMV	Estimation of Multivariate Models Defined via Copulas
coeffG	Coefficients of Polynomial used for Gumbel Copula
contour-method	Methods for Contour Plots in Package 'copula'
contour-methods	Methods for Contour Plots in Package 'copula'
copAMH	Specific Archimedean Copula Families ("acopula" Objects)
copClayton	Specific Archimedean Copula Families ("acopula" Objects)
copFrank	Specific Archimedean Copula Families ("acopula" Objects)
copGumbel	Specific Archimedean Copula Families ("acopula" Objects)
copJoe	Specific Archimedean Copula Families ("acopula" Objects)
Copula	Density, Evaluation, and Random Number Generation for Copula Functions
Copula-class	Mother Classes "Copula" and "copula" of All Copulas in the Package
copula-class	Mother Classes "Copula" and "copula" of All Copulas in the Package

-- D --

dAdu	Generator Functions for Archimedean and Extreme-Value Copulas
dAdu-method	Generator Functions for Archimedean and Extreme-Value Copulas
dAdu-methods	Generator Functions for Archimedean and Extreme-Value Copulas
dCn	The Empirical Copula
dCopula	Density, Evaluation, and Random Number Generation for Copula Functions
dcopula	Density, Evaluation, and Random Number Generation for Copula Functions
dCopula-method	Density, Evaluation, and Random Number Generation for Copula Functions
dCopula-method	Density Evaluation for (Nested) Archimedean Copulas
dDiag	Density of the Diagonal of (Nested) Archimedean Copulas
debye1	Polylogarithm Li_s(z) and Debye Functions
debye2	Polylogarithm Li_s(z) and Debye Functions
dependogram	Test Independence of Continuous Random Variables via Empirical Copula
dim-method	Mother Classes "Copula" and "copula" of All Copulas in the Package
dim-method	Class "mvdc"
dim-method	Class "nacopula" of Nested Archimedean Copulas
diPsi	Generator Functions for Archimedean and Extreme-Value Copulas
diPsi-method	Generator Functions for Archimedean and Extreme-Value Copulas
diPsi-methods	Generator Functions for Archimedean and Extreme-Value Copulas
dK	Kendall Distribution Function for Archimedean Copulas
dMvdc	Multivariate Distributions Constructed from Copulas
dmvdc	Multivariate Distributions Constructed from Copulas
dnacopula	Density Evaluation for (Nested) Archimedean Copulas
dSibuya	Sibuya Distribution - Sampling and Probabilities
dsumSibuya	Sibuya Distribution - Sampling and Probabilities

-- E --

ebeta	Various Estimators for (Nested) Archimedean Copulas
edmle	Various Estimators for (Nested) Archimedean Copulas
ellipCopula	Construction of Elliptical Copula Class Object
ellipCopula-class	Class "ellipCopula"
emde	Minimum Distance Estimators for (Nested) Archimedean Copulas
emle	Maximum Likelihood Estimators for (Nested) Archimedean Copulas
enacopula	Estimation Procedures for (Nested) Archimedean Copulas
etau	Various Estimators for (Nested) Archimedean Copulas
Eulerian	Eulerian and Stirling Numbers of First and Second Kind
Eulerian.all	Eulerian and Stirling Numbers of First and Second Kind
evCopula	Construction of Extreme-Value Copula Class Objects
evCopula-class	Classes Representing Extreme-Value Copulas
evTestA	Bivariate Test of Extreme-Value Dependence Based on Pickands' Dependence Function
evTestC	Large-sample Test of Multivariate Extreme-Value Dependence
evTestK	Bivariate Test of Extreme-Value Dependence Based on Kendall's Process
exchEVTest	Test of Exchangeability for Certain Bivariate Copulas
exchTest	Test of Exchangeability for a Bivariate Copula

-- F --

F.n	The Empirical Copula
fgmCopula	Construction of a fgmCopula Class Object
fgmCopula-class	Class "fgmCopula"
fitCopula	Estimation of the Parameters in Copula Models
fitCopula-class	Classes of Fitted Multivariate Models: Copula, Mvdc
fitMvdc	Estimation of Multivariate Models Defined via Copulas
fitMvdc-class	Classes of Fitted Multivariate Models: Copula, Mvdc
fittedMV-class	Classes of Fitted Multivariate Models: Copula, Mvdc
format-method	Class "interval" of Simple Intervals
frankCopula	Construction of Archimedean Copula Class Object
frankCopula-class	Class "archmCopula"

-- G --

galambosCopula	Construction of Extreme-Value Copula Class Objects
galambosCopula-class	Classes Representing Extreme-Value Copulas
genFun	Generator Functions for Archimedean and Extreme-Value Copulas
genFunDer1	Generator Functions for Archimedean and Extreme-Value Copulas
genFunDer2	Generator Functions for Archimedean and Extreme-Value Copulas
genInv	Generator Functions for Archimedean and Extreme-Value Copulas
getAcop	Get "acopula" Family Object by Name
getSigma	Convert (Rho) Matrices to and From Parameter Vectors
gnacopula	Goodness-of-fit Testing for (Nested) Archimedean Copulas
gofBTstat	Various Goodness-of-fit Test Statistics
gofCopula	Goodness-of-fit Tests for Copulas
gofEVCopula	Goodness-of-fit Tests for Bivariate Extreme-Value Copulas
gofMB	Goodness-of-fit Tests for Copulas
gofPB	Goodness-of-fit Tests for Copulas
gofTstat	Goodness-of-fit Test Statistics
gpviTest	Computations for Graphical GOF Test via Pairwise Rosenblatt Transforms
gtrafo	GOF Testing Transformations for Archimedean Copulas
gumbelCopula	Construction of Archimedean Copula Class Object
gumbelCopula-class	Class "archmCopula"

-- H --

htrafo	GOF Testing Transformations for Archimedean Copulas
huslerReissCopula	Construction of Extreme-Value Copula Class Objects
huslerReissCopula-class	Classes Representing Extreme-Value Copulas

-- I --

indepCopula	Construction of Independence Copula Class Objects
indepCopula-class	Class "indepCopula"
indepTest	Test Independence of Continuous Random Variables via Empirical Copula
indepTestSim	Test Independence of Continuous Random Variables via Empirical Copula
initialize-method	Class "acopula" of Archimedean Copula Families
initOpt	Initial Interval or Value for Parameter Estimation of Archimedean Copulas
interval	Construct Simple "interval" Object
interval-class	Class "interval" of Simple Intervals
iPsi	Generator Functions for Archimedean and Extreme-Value Copulas
iPsi-method	Generator Functions for Archimedean and Extreme-Value Copulas
iPsi-methods	Generator Functions for Archimedean and Extreme-Value Copulas
iRho	Dependence Measures for Bivariate Copulas
iRho-method	Dependence Measures for Bivariate Copulas
iRho-methods	Dependence Measures for Bivariate Copulas
iTau	Dependence Measures for Bivariate Copulas
iTau-method	Dependence Measures for Bivariate Copulas
iTau-methods	Dependence Measures for Bivariate Copulas

-- J --

joeCopula	Construction of Archimedean Copula Class Object
joeCopula-class	Class "archmCopula"

-- K --

K	Kendall Distribution Function for Archimedean Copulas
kendallsTau	Dependence Measures for Bivariate Copulas
Kn	Kendall Distribution Function for Archimedean Copulas

-- L --

log1mexp	Compute f(a) = log(1 +/- exp(-a)) Numerically Optimally
log1pexp	Compute f(a) = log(1 +/- exp(-a)) Numerically Optimally
logLik.fittedMV	Estimation of Multivariate Models Defined via Copulas
loglikCopula	Estimation of the Parameters in Copula Models
loglikMvdc	Estimation of Multivariate Models Defined via Copulas
loss	LOSS and ALAE Insurance Data
lSMI	SMI Data - 141 Days in Winter 2011/2012

-- M --

maybeInterval-class	Class "interval" of Simple Intervals
multIndepTest	Independence Test Among Continuous Random Vectors Based on the Empirical Copula Process
multSerialIndepTest	Serial Independence Test for Multivariate Continuous Time Series Based on the Empirical Copula Process
Mvdc	Multivariate Distributions Constructed from Copulas
mvdc	Multivariate Distributions Constructed from Copulas
mvdc-class	Class "mvdc"

-- N --

nac2list	Constructing (Outer) Nested Archimedean Copulas
nacFrail.time	Timing for Sampling Frailties of Nested Archimedean Copulas
nacopula	Constructing (Outer) Nested Archimedean Copulas
nacopula-class	Class "nacopula" of Nested Archimedean Copulas
nacPairthetas	Pairwise Thetas of Nested Archimedean Copulas
nesdepth	Nesting Depth of a Nested Archimedean Copula ("nacopula")
normalCopula	Construction of Elliptical Copula Class Object
normalCopula-class	Class "ellipCopula"

-- O --

onacopula	Constructing (Outer) Nested Archimedean Copulas
onacopulaL	Constructing (Outer) Nested Archimedean Copulas
opower	Outer Power Transformation of Archimedean Copulas
outer_nacopula-class	Class "nacopula" of Nested Archimedean Copulas

-- P --

P2p	Convert (Rho) Matrices to and From Parameter Vectors
p2P	Convert (Rho) Matrices to and From Parameter Vectors
pacR	Distribution of the Radial Part of an Archimedean Copula
pairsColList	Plots for Graphical GOF Test via Pairwise Rosenblatt Transforms
pairsRosenblatt	Plots for Graphical GOF Test via Pairwise Rosenblatt Transforms
pairwiseCcop	Computations for Graphical GOF Test via Pairwise Rosenblatt Transforms
pairwiseIndepTest	Computations for Graphical GOF Test via Pairwise Rosenblatt Transforms
pCopula	Density, Evaluation, and Random Number Generation for Copula Functions
pcopula	Density, Evaluation, and Random Number Generation for Copula Functions
pCopula-method	Density, Evaluation, and Random Number Generation for Copula Functions
pCopula-method	Evaluation of (Nested) Archimedean Copulas
persp-method	Methods for Function 'persp' in Package 'copula'
persp-methods	Methods for Function 'persp' in Package 'copula'
pK	Kendall Distribution Function for Archimedean Copulas
plackettCopula	Construction of a Plackett Copula Class Object
plackettCopula-class	Mother Classes "Copula" and "copula" of All Copulas in the Package
pMvdc	Multivariate Distributions Constructed from Copulas
pmvdc	Multivariate Distributions Constructed from Copulas
pnacopula	Evaluation of (Nested) Archimedean Copulas
pobs	Pseudo-Observations
polylog	Polylogarithm Li_s(z) and Debye Functions
polynEval	Evaluate Polynomials
printNacopula	Print Compact Overview of a Nested Archimedean Copula ("nacopula")
prob	Computing Probabilities of Hypercubes
prob-method	Computing Probabilities of Hypercubes
prob-methods	Computing Probabilities of Hypercubes
psi	Generator Functions for Archimedean and Extreme-Value Copulas
psi-method	Generator Functions for Archimedean and Extreme-Value Copulas
psi-methods	Generator Functions for Archimedean and Extreme-Value Copulas
pSibuya	Sibuya Distribution - Sampling and Probabilities
psiDabsMC	Absolute Value of Generator Derivatives via Monte Carlo
pviTest	Computations for Graphical GOF Test via Pairwise Rosenblatt Transforms

-- Q --

qacR	Distribution of the Radial Part of an Archimedean Copula
qK	Kendall Distribution Function for Archimedean Copulas
qqplot2	Q-Q Plot with Rugs and Pointwise Asymptotic Confidence Intervals

-- R --

rCopula	Density, Evaluation, and Random Number Generation for Copula Functions
rcopula	Density, Evaluation, and Random Number Generation for Copula Functions
rCopula-method	Density, Evaluation, and Random Number Generation for Copula Functions
rdj	Daily Returns of Three Stocks in the Dow Jones
retstable	Sampling Exponentially Tilted Stable Distributions
retstableR	Sampling Exponentially Tilted Stable Distributions
rF01Frank	Sample Univariate Distributions Involved in Nested Frank and Joe Copulas
rF01Joe	Sample Univariate Distributions Involved in Nested Frank and Joe Copulas
rFFrank	Sampling Distribution F for Frank and Joe
rFJoe	Sampling Distribution F for Frank and Joe
rho	Dependence Measures for Bivariate Copulas
rho-method	Dependence Measures for Bivariate Copulas
rho-methods	Dependence Measures for Bivariate Copulas
rK	Kendall Distribution Function for Archimedean Copulas
rlog	Sampling Logarithmic Distributions
rlogR	Sampling Logarithmic Distributions
rMvdc	Multivariate Distributions Constructed from Copulas
rmvdc	Multivariate Distributions Constructed from Copulas
rnacModel	Random nacopula Model
rnacopula	Sampling Nested Archimedean Copulas
rnchild	Sampling Child 'nacopula's
rSibuya	Sibuya Distribution - Sampling and Probabilities
rSibuyaR	Sibuya Distribution - Sampling and Probabilities
RSpobs	Pseudo-Observations of Radial and Uniform Part of Elliptical and Archimedean Copulas
rstable	Random numbers from (Skew) Stable Distributions
rstable1	Random numbers from (Skew) Stable Distributions
rtrafo	GOF Testing Transformations for Archimedean Copulas

-- S --

safeUroot	One-dimensional Root (Zero) Finding - Extra "Safety" for Convenience
serialIndepTest	Serial Independence Test for Continuous Time Series Based on the Empirical Copula Process
serialIndepTestSim	Serial Independence Test for Continuous Time Series Based on the Empirical Copula Process
setTheta	Specify the Parameter(s) of a Copula
setTheta-method	Specify the Parameter(s) of a Copula
show-method	Class "acopula" of Archimedean Copula Families
show-method	Class "interval" of Simple Intervals
show-method	Class "mvdc"
show-method	Print Compact Overview of a Nested Archimedean Copula ("nacopula")
show-method	Methods for 'show' in Package 'copula'
show-methods	Methods for 'show' in Package 'copula'
Sibuya	Sibuya Distribution - Sampling and Probabilities
sinc	Sinc, Zolotarev's, and Other Mathematical Utility Functions
SMI.12	SMI Data - 141 Days in Winter 2011/2012
spearmansRho	Dependence Measures for Bivariate Copulas
splom2	Scatterplot Matrix (splom) with Nice Variable Names
Stirling1	Eulerian and Stirling Numbers of First and Second Kind
Stirling1.all	Eulerian and Stirling Numbers of First and Second Kind
Stirling2	Eulerian and Stirling Numbers of First and Second Kind
Stirling2.all	Eulerian and Stirling Numbers of First and Second Kind
Summary-method	Class "interval" of Simple Intervals
summary-method	Classes of Fitted Multivariate Models: Copula, Mvdc
summaryFitCopula-class	Classes of Fitted Multivariate Models: Copula, Mvdc
summaryFitMvdc-class	Classes of Fitted Multivariate Models: Copula, Mvdc

-- T --

tailIndex	Dependence Measures for Bivariate Copulas
tailIndex-method	Dependence Measures for Bivariate Copulas
tailIndex-methods	Dependence Measures for Bivariate Copulas
tau	Dependence Measures for Bivariate Copulas
tau-method	Dependence Measures for Bivariate Copulas
tau-methods	Dependence Measures for Bivariate Copulas
tauAMH	Ali-Mikhail-Haq ("AMH")'s and Joe's Kendall's Tau
tauJoe	Ali-Mikhail-Haq ("AMH")'s and Joe's Kendall's Tau
tawnCopula	Construction of Extreme-Value Copula Class Objects
tawnCopula-class	Classes Representing Extreme-Value Copulas
tCopula	Construction of Elliptical Copula Class Object
tCopula-class	Class "ellipCopula"
tevCopula	Construction of Extreme-Value Copula Class Objects
tevCopula-class	Classes Representing Extreme-Value Copulas

-- U --

uranium

Uranium Exploration Dataset of Cook & Johnson (1986)

-- V --

vcov.fittedMV

Estimation of Multivariate Models Defined via Copulas

-- misc --

%in%-method	Class "interval" of Simple Intervals
.ac.classNames	Get "acopula" Family Object by Name
.ac.longNames	Get "acopula" Family Object by Name
.ac.objNames	Get "acopula" Family Object by Name
.ac.shortNames	Get "acopula" Family Object by Name
.emle	Maximum Likelihood Estimators for (Nested) Archimedean Copulas
.pairsCond	Pairs Plot of a cu.u Object (Internal Use)