Multivariate Dependence with Copulas


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Documentation for package ‘copula’ version 0.999-13

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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
contour-method Methods for Function 'contour' in Package 'copula'
contour-methods Methods for Function 'contour' 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
dev.off.pdf Cropping and Font Embedding PDF Device
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)