• copula

  • Referenced in 94 articles [sw07944]
  • Enjoy the Joy of Copulas: With a Package copula. Copulas have become a popular tool ... fields. A good open-source implementation of copulas is much needed for more practitioners ... enjoy the joy of copulas. This article presents the design, features, and some implementation details ... package copula. The package provides a carefully designed and easily extensible platform for multivariate modeling...
  • copula

  • Referenced in 82 articles [sw14499]
  • package copula: Multivariate Dependence with Copulas. Classes (S4) of commonly used elliptical, Archimedean, extreme value ... some more copula families. Methods for density, distribution, random number generation, bivariate dependence measures, perspective ... contour plots. Fitting copula models including variance estimates. Independence and serial (univariate and multivariate) independence ... tests, and other copula related tests. Empirical copula and multivariate CDF. Goodness-of-fit tests...
  • TwoCop

  • Referenced in 46 articles [sw12359]
  • TwoCop: Nonparametric test of equality between two copulas. This package implements the nonparametric test ... equality between two copulas proposed by Remillard and Scaillet in their 2009 JMVA paper: Testing ... equality between two copulas. We develop a test of equality between two dependence structures estimated ... through empirical copulas. We provide inference for independent or paired samples. The multiplier central limit...
  • nacopula

  • Referenced in 39 articles [sw06778]
  • nacopula: Nested Archimedean Copulas. An R package for working with nested Archimedean copulas. Specifically, providing...
  • CDVine

  • Referenced in 27 articles [sw08161]
  • Statistical inference of C- and D-vine copulas. This package provides functions for statistical inference ... canonical vine (C-vine) and D-vine copulas. It contains tools for bivariate exploratory data ... bivariate as well as vine copula selection. Models can be estimated either sequentially ... unit hypercube (so-called copula data...
  • VineCopula

  • Referenced in 21 articles [sw08160]
  • VineCopula: Statistical inference of vine copulas. This package provides functions for statistical inference of vine ... copulas. It contains tools for bivariate exploratory data analysis, bivariate copula selection and (vine) tree ... unit hypercube (so-called copula data). For C- and D-vines links to the package...
  • huge

  • Referenced in 27 articles [sw08466]
  • functions for fitting high dimensional semiparametric Gaussian copula models; (3) more functions like data-dependent...
  • gcmr

  • Referenced in 19 articles [sw07433]
  • package gcmr: Gaussian copula marginal regression. This paper identifies and develops the class of Gaussian ... copula models for marginal regression analysis of non-normal dependent observations. The class provides...
  • RMetrics

  • Referenced in 22 articles [sw09991]
  • Volatility Forecasting, Extreme Value Theory and Copulae, Pricing of Derivatives, Portfolio Analysis, Design and Optimization...
  • Linkages

  • Referenced in 17 articles [sw01332]
  • distributions with given univariate marginals is the copula function. Using it, any multivariate distribution function...
  • Statool

  • Referenced in 9 articles [sw00914]
  • based on copulas [cf. {\itR. B. Nelsen}, An introduction to copulas. Properties and applications. Lecture...
  • bfa

  • Referenced in 9 articles [sw07430]
  • Bayesian Gaussian copula factor models for mixed data Gaussian factor models have proven widely useful ... propose a novel class of Bayesian Gaussian copula factor models that decouple the latent factors...
  • HAC

  • Referenced in 9 articles [sw11199]
  • Estimation, Simulation and Visualization of Hierarchical Archimedean Copulae (HAC). Package provides the estimation ... methods and structural plots of Hierarchical Archimedean Copulae...
  • SemiParBIVProbit

  • Referenced in 12 articles [sw08169]
  • error equations, endogeneity or sample selection. Bivariate copula models are also supported...
  • fCopulae

  • Referenced in 5 articles [sw22144]
  • package fCopulae: Rmetrics - Bivariate Dependence Structures with Copulae. Provides a collection of functions to manage ... analyze bivariate financial returns by Copulae. Included are the families of Archemedean, Elliptical, Extreme Value ... Empirical Copulae...
  • idr

  • Referenced in 5 articles [sw11205]
  • This is a package for estimating the copula mixture model and plotting correspondence curves ... replicates. Our curve is fitted by a copula mixture model, from which we derive...
  • rmgarch

  • Referenced in 7 articles [sw26851]
  • GARCH models including DCC, GO-GARCH and Copula-GARCH...
  • npcp

  • Referenced in 6 articles [sw14395]
  • particularly sensitive to changes in the underlying copula, Spearman’s rho or certain quantities that...
  • kdecopula

  • Referenced in 4 articles [sw20374]
  • package kdecopula: Kernel Smoothing for Bivariate Copula Densities. Provides fast implementations of kernel smoothing techniques ... bivariate copula densities, in particular density estimation and resampling...
  • CoClust

  • Referenced in 3 articles [sw19990]
  • copula-based algorithm for discovering patterns of dependent observations. The main aim of this work ... clustering dependent data by means of copula functions. Copulas are popular multivariate tools whose importance ... based on the log-likelihood of a copula fit. We test our proposal on simulated...