copula (0.9-9)

Multivariate dependence with copulas.

Classes (S4) of commonly used copulas including elliptical (normal and t), Archimedean (Clayton, Gumbel, Frank, and Ali-Mikhail-Haq), extreme value (Gumbel, Husler-Reiss, Galambos, Tawn, and t-EV), and other families (Plackett and Farlie-Gumbel-Morgenstern). Methods for density, distribution, random number generation, bivariate dependence measures, perspective and contour plots. Functions for fitting copula models with variance estimate. Independence tests among random variables and random vectors. Serial independence tests for univariate and multivariate continuous time series. Goodness-of-fit tests for copulas based on multipliers and on the parametric bootstrap. Bivariate and multivariate tests of extreme-value dependence. Bivariate tests of exchangeability.

Maintainer: Ivan Kojadinovic
Author(s): Jun Yan <> and Ivan Kojadinovic <>

License: GPL (>= 3)

Uses: mvtnorm, pspline, scatterplot3d
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 almost 6 years ago.