copula-package {copula}R Documentation

Multivariate Dependence Modeling with Copulas

Description

The copula package provides (S4) classes of commonly used elliptical, (nested) Archimedean, extreme value and other copula families; methods for density, distribution, random number generation, and plots.

Fitting copula models and goodness-of-fit tests. Independence and serial (univariate and multivariate) independence tests, and other copula related tests.

Details

The DESCRIPTION file:

Package: copula
Version: 0.999-14
VersionNote: LastCran: 0.999-13 on 2015-03-05
Date: $Date: 2015-10-26 15:14:37 +0100 (Mon, 26. Oct 2015) $, subversion $Revision: 1198 $ <<-- don't forget inst/NEWS.Rd !
Title: Multivariate Dependence with Copulas
Author: Marius Hofert <marius.hofert@uwaterloo.ca>, Ivan Kojadinovic <ivan.kojadinovic@univ-pau.fr>, Martin Maechler <maechler@stat.math.ethz.ch>, and Jun Yan <jun.yan@uconn.edu>
Maintainer: Martin Maechler <maechler@stat.math.ethz.ch>
Depends: R (>= 3.0.1)
Imports: stats, graphics, methods, stats4, Matrix, lattice, colorspace, gsl, ADGofTest, stabledist (>= 0.6-4), mvtnorm, pspline
Suggests: MASS, KernSmooth, sfsmisc, scatterplot3d, Rmpfr, bbmle, knitr, parallel, mvnormtest, partitions, polynom, randtoolbox, rugarch, Runuran, tseries, VGAM, VineCopula, zoo
SuggestsNote: the last line packages parallel, ..., zoo are only used in vignettes and demos.
Enhances: nor1mix
Description: Classes (S4) of commonly used elliptical, Archimedean, extreme value and some more copula families. Methods for density, distribution, random number generation, bivariate dependence measures, perspective and contour plots. Fitting copula models including variance estimates. Independence and serial (univariate and multivariate) independence tests, and other copula related tests. Empirical copula and multivariate CDF. Goodness-of-fit tests for copulas based on multipliers, the parametric bootstrap with several transformation options. Merged former package 'nacopula' for nested Archimedean copulas: Efficient sampling algorithms, various estimators, goodness-of-fit tests and related tools and special functions.
License: GPL (>= 3) | file LICENCE
ByteCompile: yes
VignetteBuilder: knitr
Collate: AllClass.R Classes.R Copula.R Auxiliaries.R aux-acopula.R special-func.R cop_objects.R nacopula.R derCdfPdf.R amhCopula.R amhExpr.R An.R archmCopula.R asymCopula.R asymExplicitCopula.R claytonCopula.R claytonExpr.R ellipCopula.R empcop.R empPsi.R acR.R estimation.R evCopula.R evTests.R exchTests.R fgmCopula.R fitCopula.R fitMvdc.R frankCopula.R frankExpr.R galambosCopula.R galambosExpr-math.R galambosExpr.R ggraph-tools.R pairsRosenblatt.R gofTrafos.R gofEVTests.R gofTests.R graphics.R gumbelCopula.R gumbelExpr.R huslerReissCopula.R huslerReissExpr.R indepCopula.R indepTests.R joeCopula.R K.R logseries.R mvdc.R normalCopula.R plackettCopula.R plackettExpr.R rstable1.R safeUroot.R schlatherCopula.R stable.R timing.R trafos.R tCopula.R tawnCopula.R tawnExpr.R tevCopula.R wrapper.R zzz.R
Encoding: UTF-8
URL: http://copula.r-forge.r-project.org/

Index of help topics:

.pairsCond              Pairs Plot of a cu.u Object (Internal Use)
A..Z                    Sinc, Zolotarev's, and Other Mathematical
                        Utility Functions
An                      Nonparametric Rank-based Estimators of the
                        Pickands Dependence Function
Bernoulli               Compute Bernoulli Numbers
C.n                     The Empirical Copula
Copula                  Density, Evaluation, and Random Number
                        Generation for Copula Functions
Eulerian                Eulerian and Stirling Numbers of First and
                        Second Kind
K                       Kendall Distribution Function for Archimedean
                        Copulas
Mvdc                    Multivariate Distributions Constructed from
                        Copulas
RSpobs                  Pseudo-Observations of Radial and Uniform Part
                        of Elliptical and Archimedean Copulas
SMI.12                  SMI Data - 141 Days in Winter 2011/2012
Sibuya                  Sibuya Distribution - Sampling and
                        Probabilities
absdPsiMC               Absolute Value of Generator Derivatives via
                        Monte Carlo
acopula-class           Class "acopula" of Archimedean Copula Families
acopula-families        Specific Archimedean Copula Families ("acopula"
                        Objects)
allComp                 All Components of a (Inner or Outer) Nested
                        Archimedean Copula
archmCopula             Construction of Archimedean Copula Class Object
archmCopula-class       Class "archmCopula"
beta.                   Sample and Population Version of Blomqvist's
                        Beta for Archimedean Copulas
cCopula                 Conditional Copula Function
coeffG                  Coefficients of Polynomial used for Gumbel
                        Copula
contour-methods         Methods for Contour Plots in Package 'copula'
copula-class            Mother Classes "Copula" and "copula" of All
                        Copulas in the Package
copula-package          Multivariate Dependence Modeling with Copulas
dDiag                   Density of the Diagonal of (Nested) Archimedean
                        Copulas
dnacopula               Density Evaluation for (Nested) Archimedean
                        Copulas
ebeta                   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
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
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
getAcop                 Get "acopula" Family Object by Name
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
gofTstat                Goodness-of-fit Test Statistics
gtrafo                  GOF Testing Transformations for Archimedean
                        Copulas
iPsi                    Generator Functions for Archimedean and
                        Extreme-Value Copulas
indepCopula             Construction of Independence Copula Class
                        Objects
indepCopula-class       Class "indepCopula"
indepTest               Test Independence of Continuous Random
                        Variables via Empirical Copula
initOpt                 Initial Interval or Value for Parameter
                        Estimation of Archimedean Copulas
interval                Construct Simple "interval" Object
interval-class          Class "interval" of Simple Intervals
log1mexp                Compute f(a) = log(1 +/- exp(-a)) Numerically
                        Optimally
loss                    LOSS and ALAE Insurance Data
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-class              Class "mvdc"
nacFrail.time           Timing for Sampling Frailties of Nested
                        Archimedean Copulas
nacPairthetas           Pairwise Thetas of Nested Archimedean Copulas
nacopula-class          Class "nacopula" of Nested Archimedean Copulas
nesdepth                Nesting Depth of a Nested Archimedean Copula
                        ("nacopula")
onacopula               Constructing (Outer) Nested Archimedean Copulas
opower                  Outer Power Transformation of Archimedean
                        Copulas
p2P                     Convert (Rho) Matrices to and From Parameter
                        Vectors
pacR                    Distribution of the Radial Part of an
                        Archimedean Copula
pairsRosenblatt         Plots for Graphical GOF Test via Pairwise
                        Rosenblatt Transforms
pairwiseCcop            Computations for Graphical GOF Test via
                        Pairwise Rosenblatt Transforms
persp-methods           Methods for Function 'persp' in Package
                        'copula'
plackettCopula          Construction of a Plackett Copula Class Object
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
qqplot2                 Q-Q Plot with Rugs and Pointwise Asymptotic
                        Confidence Intervals
rF01Frank               Sample Univariate Distributions Involved in
                        Nested Frank and Joe Copulas
rFFrank                 Sampling Distribution F for Frank and Joe
rdj                     Daily Returns of Three Stocks in the Dow Jones
retstable               Sampling Exponentially Tilted Stable
                        Distributions
rlog                    Sampling Logarithmic Distributions
rnacModel               Random nacopula Model
rnacopula               Sampling Nested Archimedean Copulas
rnchild                 Sampling Child 'nacopula's
rstable1                Random numbers from (Skew) Stable Distributions
safeUroot               One-dimensional Root (Zero) Finding - Extra
                        "Safety" for Convenience
serialIndepTest         Serial Independence Test for Continuous Time
                        Series Based on the Empirical Copula Process
setTheta                Specify the Parameter(s) of a Copula
show-methods            Methods for 'show' in Package 'copula'
splom2                  Scatterplot Matrix (splom) with Nice Variable
                        Names
tau                     Dependence Measures for Bivariate Copulas
tauAMH                  Ali-Mikhail-Haq ("AMH")'s and Joe's Kendall's
                        Tau
uranium                 Uranium Exploration Dataset of Cook & Johnson
                        (1986)

Further information is available in the following vignettes:

AC_Liouville Archimedean Liouville Copulas (source)
AR_Clayton MLE and Quantile Evaluation for a Clayton AR(1) Model with Student Marginals (source)
GIG Generalized Inverse Gaussian Archimedean Copulas (source)
NALC Nested Archimedean L&eacute;vy Copulas (source)
copula_GARCH The Copula GARCH Model (source)
dNAC Densities of Two-Level Nested Archimedean Copulas (source)
logL_visualization Log-Likelihood Visualization for Archimedean Copulas (source)
qrng Quasi-Random Numbers for Copula Models (source)
tail_compatibility Copula Constructions for Tail-Dependence Matrices (source)
wild_animals Wild Animals: Examples of Nonstandard Copulas (source)
Frank-Rmpfr Franknacopula (source)
nacopula-pkg copula (source)
rhoAMH-dilog Rho_AMH_beautiful (source)

The copula package provides

Now with former package nacopula for working with nested Archimedean copulas. Specifically,

Further information is available in the following vignettes:

nacopula-pkg Nested Archimedean Copulas Meet R (../doc/nacopula-pkg.pdf)
Frank-Rmpfr Numerically Stable Frank via Multiprecision in R (../doc/Frank-Rmpfr)

For a list of exported functions, use help(package = "copula").

Author(s)

Marius Hofert, Ivan Kojadinovic, Martin Maechler, and Jun Yan.

Maintainer: Currently, Martin Maechler maechler@stat.math.ethz.ch.

References

Yan, J. (2007) Enjoy the Joy of Copulas: With a Package copula. Journal of Statistical Software 21(4), 1–21. http://www.jstatsoft.org/v21/i04/.

Kojadinovic, I. and Yan, J. (2010). Modeling Multivariate Distributions with Continuous Margins Using the copula R Package. Journal of Statistical Software 34(9), 1–20. http://www.jstatsoft.org/v34/i09/.

Hofert, M. and Mächler, M. (2011), Nested Archimedean Copulas Meet R: The nacopula Package., Journal of Statistical Software 39(9), 1–20. http://www.jstatsoft.org/v39/i09/.

Nelsen, R. B. (2006) An introduction to Copulas. Springer, New York.

See Also

The following CRAN packages currently use (‘depend on’) copula: CoClust, copulaedas, Depela, HAC, ipptoolbox, vines.

Examples

## Some of the more important functions (and their examples) are

example(fitCopula)## fitting Copulas
example(fitMvdc)  ## fitting multivariate distributions via Copulas
example(nacopula) ## nested Archimedean Copulas

## Independence Tests:  These also draw a 'Dependogram':
example(indepTest)       ## Testing for Independence
example(serialIndepTest) ## Testing for Serial Independence


[Package copula version 0.999-14 Index]