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CRAN: Package copula

copula: Multivariate Dependence with Copulas

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.

Version: 1.1-6 Depends: R (≥ 3.5.0) Imports: stats, graphics, methods, stats4, Matrix (≥ 1.5-0), lattice, colorspace, gsl, ADGofTest, stabledist (≥ 0.6-4), mvtnorm, pcaPP, pspline, numDeriv Suggests: MASS, KernSmooth, sfsmisc, scatterplot3d, Rmpfr, bbmle, knitr, rmarkdown, animation, abind, crop, gridExtra, HAC, lcopula, mev, mvnormtest, parallel, partitions, polynom, qrng, randtoolbox, rugarch, Runuran, tseries, VGAM, VineCopula, zoo Enhances: nor1mix, copulaData Published: 2025-03-18 DOI: 10.32614/CRAN.package.copula Author: Marius Hofert [aut], Ivan Kojadinovic [aut], Martin Maechler [aut, cre], Jun Yan [aut], Johanna G. NeÅ¡lehová [ctb] (evTestK()), Rebecca Morger [ctb] (fitCopula.ml(): code for free mixCopula weight parameters) Maintainer: Martin Maechler <maechler at stat.math.ethz.ch> BugReports: https://r-forge.r-project.org/tracker/?func=add&group_id=2140&atid=5417 License: GPL (≥ 3) | file LICENCE URL: https://copula.r-forge.r-project.org/, https://r-forge.r-project.org/projects/copula/, https://CRAN.r-project.org/package=copula NeedsCompilation: yes SystemRequirements: pdfcrop (part of TexLive) is required to rebuild the vignettes. Citation: copula citation info Materials: NEWS ChangeLog In views: Distributions, ExtremeValue, Finance CRAN checks: copula results Documentation: Reference manual: copula.pdf Vignettes: Archimedean Liouville Copulas (source, R code)
MLE and Quantile Evaluation for a Clayton AR(1) Model with Student Marginals (source, R code)
Generalized Inverse Gaussian Archimedean Copulas (source, R code)
Hierarchical Archimax Copulas (source, R code)
Nested Archimedean Lévy Copulas (source, R code)
The Copula GARCH Model (source, R code)
Densities of Two-Level Nested Archimedean Copulas (source, R code)
Exploring Empirical Copulas (source, R code)
Log-Likelihood Visualization for Archimedean Copulas (source, R code)
Quasi-Random Numbers for Copula Models (source, R code)
Wild Animals: Examples of Nonstandard Copulas (source, R code)
Numerically stable Frank Copulas via Multiprecision (Rmpfr) (source, R code)
Nested Archimedean Copulas Meet R (source, R code)
Beautiful Spearman's Rho for AMH Copula (source, R code)
Downloads: Reverse dependencies: Reverse depends: censorcopula, ClusterStability, CoClust, CoImp, CopCTS, COST, HAC, HMMcopula, lcopula, MixedIndTests, NCSCopula, RGENERATEPREC, VC2copula Reverse imports: bfboinet, bivgeom, boinet, BSL, cascsim, cases, ClustImpute, CompAREdesign, CopulaCenR, cylcop, depCensoring, depcoeff, discnorm, dMrs, drought, EFDR, ExtremalDep, ExtremeRisks, fastqrs, flood, gamCopula, gasmodel, GJRM, gnn, Kcop, LMMstar, LongDecompHE, MCARtest, MOsemiind, multinma, mvnormalTest, nvmix, Omisc, pbox, pgee.mixed, PPMiss, psBayesborrow, pwSEM, qad, qch, RCTrep, scBFA, SemiPar.depCens, sgee, STCCGEV, SubTS, surrosurv, survivalMPLdc, svars, tailDepFun, TempStable, tsissm, WINS, zipfextR Reverse suggests: copBasic, docopulae, ffp, intcensROC, kyotil, nor1mix, npcp, qrmtools, qrng, RDM, rlcv, robustrank, rsurv, simcausal, SimDesign, simsalapar, simsem, Spower, Surrogate, univariateML, VecDep, wdm, zenplots Reverse enhances: copulaData Linking:

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