copula: 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, 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.

Version: 0.8-12
Depends: methods, mvtnorm, scatterplot3d, sn, pspline
Enhances: nor1mix
Published: 2009-10-08
Author: Jun Yan and Ivan Kojadinovic.
Maintainer: Jun Yan <jyan at stat.uconn.edu>
License: GPL (≥ 3)
Citation: copula citation info
In views: Distributions, Finance, Multivariate
CRAN checks: copula results

Downloads:

Package source: copula_0.8-12.tar.gz
MacOS X binary: copula_0.8-12.tgz
Windows binary: copula_0.8-12.zip
Reference manual: copula.pdf
News/ChangeLog:ChangeLog
Old sources: copula archive

Reverse dependencies:

Reverse depends: Depela, ipptoolbox