copula (0.999-16)

3 users

Multivariate Dependence with Copulas.

http://copula.r-forge.r-project.org/
http://cran.r-project.org/web/packages/copula

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.

Maintainer: Martin Maechler
Author(s): 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>

License: GPL (>= 3) | file LICENCE

Uses: ADGofTest, colorspace, gsl, lattice, Matrix, mvtnorm, numDeriv, pcaPP, pspline, stabledist, KernSmooth, Runuran, VGAM, bbmle, mvnormtest, partitions, polynom, scatterplot3d, tseries, zoo, sfsmisc, randtoolbox, Rmpfr, MASS, gridExtra, rugarch, knitr, VineCopula, qrng, lcopula
Enhances: nor1mix
Reverse depends: BayesBridge, BivarP, censorcopula, ClusterStability, CoClust, CoImp, copulaedas, Depela, gofCopula, HAC, HiDimMaxStable, ipptoolbox, lcopula, nacopula, RGENERATEPREC, SemiParSampleSel, simsem, vines
Reverse suggests: aftgee, ARAMIS, copBasic, docopulae, ks, kyotil, mbbefd, npcp, qrmtools, robustrank, simcausal, simsalapar, simsem, zenplots

Released 5 months ago.


33 previous versions

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  3.0/5 (2 votes)

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  3.0/5 (2 votes)

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