VC2copula extends the copula package with families and models from VineCopula. This functionality was previously part of VineCopula, but is now provided as a stand-alone version.
You can install the released version of VC2copula from CRAN with
install.packages("VC2copula")
and the development version with
devtools::install_github("tnagler/VC2copula")
The package exposes classes for all BB- and Tawn families implemented in VineCopula, including their rotations. Additionally, rotated versions of the Clayton and Gumbel copula families are exposed.
cop <- BB1Copula(c(1, 1.5)) dCopula(c(0.5, 0.5), cop) plot(rCopula(500, cop))Full list of exposed classes
"BB1Copula", "surBB1Copula", "r90BB1Copula", "r270BB1Copula""BB6Copula", "surBB6Copula", "r90BB6Copula", "r270BB6Copula""BB7Copula", "surBB7Copula", "r90BB7Copula", "r270BB7Copula""BB8Copula", "surBB8Copula", "r90BB8Copula", "r270BB8Copula""surClaytonCopula", "r90ClaytonCopula", "r270ClaytonCopula""surGumbelCopula", "r90GumbelCopula", "r270GumbelCopula""joeBiCopula", "surJoeBiCopula", "r90JoeBiCopula", "r270JoeBiCopula""tawnT1Copula", "surTawnT1Copula", "r90TawnT1Copula", "r270TawnT1Copula""tawnT2Copula", "surTawnT2Copula", "r90TawnT2Copula", "r270TawnT2Copula"There is one more class vineCopula for vine copula models. You can convert RVineMatrix objects for the VineCopula package or fit new models using only the copula API:
data("daxreturns", package = "VineCopula")
pairs(daxreturns[, 1:4])
vine <- vineCopula(as.integer(4))
fit <- fitCopula(vine, daxreturns[, 1:4])
pairs(rCopula(500, fit@copula))
For a full overview of functions and classes, see the package website.
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