copula (0.999-18)

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 other copula families, as well as their rotations, mixtures and asymmetrizations. Nested Archimedean copulas, related tools and special functions. Methods for density, distribution, random number generation, bivariate dependence measures, Rosenblatt transform, Kendall distribution function, perspective and contour plots. Fitting of copula models with potentially partly fixed parameters, including standard errors. Serial independence tests, copula specification tests (independence, exchangeability, radial symmetry, extreme-value dependence, goodness-of-fit) and model selection based on cross-validation. Empirical copula, smoothed versions, and non-parametric estimators of the Pickands dependence function.

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, vfcp, vines
Reverse suggests: aftgee, ARAMIS, copBasic, docopulae, ks, kyotil, mbbefd, npcp, qrmtools, robustrank, simcausal, simsalapar, simsem, vfcp, zenplots

Released 22 days ago.


35 previous versions

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  3.0/5 (2 votes)

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  3.0/5 (2 votes)

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