copBasic (2.0.5)

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General Bivariate Copula Theory and Many Utility Functions.

http://cran.r-project.org/web/packages/copBasic

Extensive functions for bivariate copula (bicopula) computations and related operations concerning oft cited bicopula theory described by Nelsen (2006), Joe (2014), and other selected works. The lower, upper, product, and select other bicopula are implemented. Arbitrary bicopula expressions include the diagonal, survival copula, the dual of a copula, co-copula, numerical bicopula density, and maximum likelihood estimation. Level curves (sets), horizontal and vertical sections also are supported. Numerical derivatives and inverses of a bicopula are provided; simulation by the conditional distribution method thus is supported. Bicopula composition, convex combination, and products are provided. Support extends to Kendall Function as well as the Lmoments thereof, Kendall Tau, Spearman Rho and Footrule, Gini Gamma, Blomqvist Beta, Hoeffding Phi, Schweizer-Wolff Sigma, tail dependency (including pseudo-polar representation) and tail order, skewness, and bivariate Lmoments. Evaluators of positively/negatively quadrant dependency, left increasing and right decreasing are available. Kullback-Leibler divergence, Vuong's procedure, Spectral Measure, and Lcomoments for copula inference are available. Quantile and median regressions for V with respect to U and U with respect to V are available. Empirical copulas (EC) are supported.

Maintainer: William Asquith
Author(s): William Asquith

License: GPL-2

Uses: lmomco, randtoolbox, copula
Reverse suggests: lmomco

Released 27 days ago.


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