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: |
1.1-0 |
| Depends: |
R (≥ 3.5.0) |
| Imports: |
stats, graphics, methods, stats4, Matrix, lattice, colorspace, gsl, ADGofTest, stabledist (≥ 0.6-4), mvtnorm, pcaPP, pspline, numDeriv |
| Suggests: |
MASS, KernSmooth, sfsmisc, scatterplot3d, Rmpfr, bbmle, knitr, rmarkdown, abind, crop, gridExtra, lcopula, mev, mvnormtest, parallel, partitions, polynom, qrng, randtoolbox, rugarch, Runuran, tseries, VGAM, VineCopula, zoo |
| Enhances: |
nor1mix, copulaData |
| Published: |
2022-06-15 |
| Author: |
Marius Hofert 
[aut],
Ivan Kojadinovic
[aut],
Martin Maechler
[aut, cre],
Jun Yan [aut],
Johanna G. Nešlehová
[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 |
| Reverse depends: |
censorcopula, ClusterStability, CoClust, CoImp, CopCTS, COST, gofCopula, HAC, HMMcopula, lcopula, MixedIndTests, nCopula, NCSCopula, RGENERATEPREC, VC2copula, vfcp, vines |
| Reverse imports: |
bivgeom, BSL, cascsim, cds, ClustImpute, CompAREdesign, CopulaCenR, copulaedas, cylcop, depcoeff, discnorm, drought, EFDR, ExtremalDep, ExtremeRisks, flood, gamCopula, GJRM, gnn, good, LMMstar, mobirep, multinma, mvnormalTest, nvmix, Omisc, PAsso, pgee.mixed, PortRisk, qad, qrng, scBFA, sgee, survivalMPLdc, svars, tailDepFun, WINS, zipfextR |
| Reverse suggests: |
copBasic, docopulae, intcensROC, kyotil, npcp, qrmtools, rlcv, robustrank, SimDesign, simsalapar, simsem, univariateML, wdm, zenplots |