General Bivariate Copula Theory and Many Utility Functions


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Documentation for package ‘copBasic’ version 2.1.5

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A B C D E F G H I J K L M N P Q R S T U V W

copBasic-package Basic Theoretical Copula, Empirical Copula, and Various Utility Functions

-- A --

aicCOP The Akaike Information Criterion between a Fitted Coupla and an Empirical Copula
AMHcop The Ali-Mikhail-Haq Copula
asCOP A Wrapper on a User-Level Formula to Become a Copula Function

-- B --

bicCOP The Bayesian Information Criterion between a Fitted Coupla and an Empirical Copula
bilmoms Bivariate L-moments and L-comoments of a Copula
blomCOP The Blomqvist Beta of a Copula

-- C --

CLcop The Clayton Copula
coCOP The Co-Copula Function
composite1COP Composition of a Single Symmetric Copula with Two Compositing Parameters
composite2COP Composition of Two Copulas with Two Compositing Parameters
composite3COP (Extended) Composition of Two Copulas with Four Compositing Parameters
concordCOP The Kendall Tau and Concordance Function of a Copula
convex2COP Convex Combination of Two Copulas
convexCOP Convex Combination of an Arbitrary Number of Copulas
COP The Copula
copBasic.fitpara.beta A Single or Multi-Parameter Optimization Engine (Beta Version)
COPinv The Inverse of a Copula for V with respect to U
COPinv2 The Inverse of a Copula for U with respect to V

-- D --

densityCOP Density of a Copula
densityCOPplot Contour Density Plot of a Copula
derCOP Numerical Derivative of a Copula for V with respect to U
derCOP2 Numerical Derivative of a Copula for U with respect to V
derCOPinv Numerical Derivative Inverse of a Copula for V with respect to U
derCOPinv2 Numerical Derivative Inverse of a Copula for U with respect to V
diagCOP The Diagonals of a Copula
diagCOPatf Numerical Rooting the Diagonal of a Copula
diagCOPinv Numerical Rooting the Diagonal of a Copula
duCOP The Dual of a Copula Function

-- E --

EMPIRcop The Bivariate Empirical Copula
EMPIRcopdf Data Frame Representation of the Bivariate Empirical Copula
EMPIRgrid Grid of the Bivariate Empirical Copula
EMPIRgridder Derivatives of the Grid of the Bivariate Empirical Copula for V with respect to U
EMPIRgridder2 Derivatives of the Grid of the Bivariate Empirical Copula for U with respect to V
EMPIRgridderinv Derivative Inverses of the Grid of the Bivariate Empirical Copula for V with respect to U
EMPIRgridderinv2 Derivative Inverses of the Grid of the Bivariate Empirical Copula for U with respect to V
EMPIRmed.regress Median Regression of the Grid of the Bivariate Empirical Copula for V with respect to U
EMPIRmed.regress2 Median Regression of the Grid of the Bivariate Empirical Copula for U with respect to V
EMPIRqua.regress Quantile Regression of the Grid of the Bivariate Empirical Copula for V with respect to U
EMPIRqua.regress2 Quantile Regression of the Grid of the Bivariate Empirical Copula for U with respect to V
EMPIRsim Simulate a Bivariate Empirical Copula
EMPIRsimv Simulate a Bivariate Empirical Copula For a Fixed Value of U

-- F --

FGMcop The Generalized Farlie-Gumbel-Morgenstern Copula
FGMicop The Generalized Farlie-Gumbel-Morgenstern Copula
footCOP The Spearman Footrule of a Copula
FRECHETcop The Fréchet Family Copula

-- G --

gEVcop The Gaussian-based (Extreme Value) Copula
GHcop The Gumbel-Hougaard Extreme Value Copula
giniCOP The Gini Gamma of a Copula
GLcop The Galambos Extreme Value Copula (with Gamma Power Mixture [Joe/BB4] and Lower Extreme Value Limit)
GLEVcop The Galambos Extreme Value Copula (with Gamma Power Mixture [Joe/BB4] and Lower Extreme Value Limit)
GLPMcop The Galambos Extreme Value Copula (with Gamma Power Mixture [Joe/BB4] and Lower Extreme Value Limit)
glueCOP The Gluing Two Copulas
gridCOP Compute a Copula on a Grid

-- H --

hoefCOP The Hoeffding Phi of a Copula or Lp Distances (Independence, Radial Asymmetry, or Reflection Symmetry Forms)
HRcop The Hüsler-Reiss Extreme Value Copula

-- I --

isCOP.LTD Is a Copula Left-Tail Decreasing
isCOP.permsym Is a Copula Permutation Symmetric
isCOP.PQD The Positively Quadrant Dependency State of a Copula
isCOP.radsym Is a Copula Radially Symmetric
isCOP.RTI Is a Copula Right-Tail Increasing
isfuncCOP Is a General Bivariate Function a Copula by Gridded Search?

-- J --

JOcopB5 The Joe/B5 Copula (B5)
JOcopBB4 The Galambos Extreme Value Copula (with Gamma Power Mixture [Joe/BB4] and Lower Extreme Value Limit)
joeskewCOP Joe's Nu-Skew and the copBasic Nu-Star of a Copula
joint.curvesCOP Compute Coordinates of the Marginal Probabilities given joint AND or OR Probabilities
joint.curvesCOP2 Compute Coordinates of the Marginal Probabilities given joint AND or OR Probability
jointCOP Compute Equal Marginal Probabilities Given a Single Joint AND or OR Probability for a Copula

-- K --

kfuncCOP The Kendall (Distribution) Function of a Copula
kfuncCOPinv The Inverse Kendall Function of a Copula
kfuncCOPlmom The L-moments of the Kendall Function of a Copula
kfuncCOPlmoms The L-moments of the Kendall Function of a Copula
kmeasCOP The Kendall (Distribution) Function of a Copula
kullCOP Kullback-Leibler Divergence, Jeffrey Divergence, and Kullback-Leibler Sample Size
kullCOPint Kullback-Leibler Divergence, Jeffrey Divergence, and Kullback-Leibler Sample Size

-- L --

lcomCOP L-comoments and Bivariate L-moments of a Copula
lcomCOPpv Simulating the Sample Distribution(s) of L-correlation, L-coskew, and L-cokurtosis for a Copula
lcomoms2.ABcop2parameter Convert L-comoments to Parameters of Alpha-Beta Compositions of Two One-Parameter Copulas
lcomoms2.ABKGcop2parameter Convert L-comoments to Parameters of Alpha-Beta-Kappa-Gamma Compositions of Two One-Parameter Copulas
level.curvesCOP Compute and Plot Level Curves of a Copula V with respect to U
level.curvesCOP2 Compute and Plot Level Curves of a Copula U with respect to V
level.setCOP Compute a Level Set of a Copula V with respect to U
level.setCOP2 Compute a Level Set of a Copula U with respect to V
LpCOP The Hoeffding Phi of a Copula or Lp Distances (Independence, Radial Asymmetry, or Reflection Symmetry Forms)
LpCOPpermsym The Hoeffding Phi of a Copula or Lp Distances (Independence, Radial Asymmetry, or Reflection Symmetry Forms)
LpCOPradsym The Hoeffding Phi of a Copula or Lp Distances (Independence, Radial Asymmetry, or Reflection Symmetry Forms)

-- M --

M The Fréchet-Hoeffding Upper Bound Copula
med.regressCOP Perform Median Regression using a Copula by Numerical Derivative Method for V with respect to U
med.regressCOP2 Perform Median Regression using a Copula by Numerical Derivative Method for U with respect to V
mleCOP Maximum Pseudo-Log-Likelihood Estimation for Copula Parameter Estimation

-- N --

N4212cop The Copula of Equation 4.2.12 of Nelsen's Book
nuskewCOP Joe's Nu-Skew and the copBasic Nu-Star of a Copula
nustarCOP Joe's Nu-Skew and the copBasic Nu-Star of a Copula

-- P --

P The Product (Independence) Copula
PAcop The Pareto Copula
PARETOcop The Pareto Copula
PLACKETTcop The Plackett Copula
PLACKETTpar Estimate the Parameter of the Plackett Copula
PLACKETTsim Direct Simulation of a Plackett Copula
PLcop The Plackett Copula
PLpar Estimate the Parameter of the Plackett Copula
prod2COP The Product of Two Copulas
psepolar Pseudo-Polar Representation of Bivariate Data
PSP The Ratio of the Product Copula to Summation minus Product Copula

-- Q --

qua.regressCOP Perform Quantile Regression using a Copula by Numerical Derivative Method for V with respect to U
qua.regressCOP.draw Draw Quantile Regressions using a Copula by Numerical Derivative Method for V with respect to U or U with respect to V
qua.regressCOP2 Perform Quantile Regression using a Copula by Numerical Derivative Method for U with respect to V

-- R --

rCOP Simulate a Copula by Numerical Derivative Method
ReineckeWell266 Porosity and Permeability Data for Well-266 of the Reinecke Oil Field, Horseshoe Atoll, Texas
ReineckeWells Porosity and Permeability Data for the Reinecke Oil Field, Horseshoe Atoll, Texas
RFcop The Raftery Copula
rhobevCOP A Dependence Measure for a Bivariate Extreme Value Copula based on the Expectation of the Product of Negated Log-Transformed Random Variables U and V
rhoCOP The Spearman Rho of a Copula
rmseCOP The Root Mean Square Error between a Fitted Copula and an Empirical Copula

-- S --

sectionCOP The Sections or Derivative of the Sections of a Copula
semicorCOP The Lower and Upper Semi-Correlations of a Copula
simcomposite2COP Compute the L-comoments of a Two-Value Composited Copula by Simulation
simcomposite3COP Compute the L-comoments of a Four-Value Composited Copula by Simulation
simcompositeCOP Compute the L-comoments of a Two-Value Composited Copula by Simulation
simCOP Simulate a Copula by Numerical Derivative Method
simCOPmicro Simulate V from U through a Copula by Numerical Derivative Method
simCOPv Simulate V from U through a Copula by Numerical Derivative Method
spectralmeas Estimation of the Spectral Measure
stabtaildepf Estimation of the Stable Tail Dependence Function
statTn The Tn Statistic of a Fitted Copula to an Empirical Copula
surCOP The Survival Copula
surfuncCOP The Joint Survival Function

-- T --

tailconCOP The Tail Concentration Function of a Copula
taildepCOP The Lower- and Upper-Tail Dependency Parameters of a Copula
tailordCOP The Lower- and Upper-Tail Orders of a Copula
tauCOP The Kendall Tau and Concordance Function of a Copula
tEVcop The t-EV (Extreme Value) Copula

-- U --

uvlmoms Bivariate Skewness after Joe (2014) or the Univariate L-moments of Combined U and V
uvskew Bivariate Skewness after Joe (2014) or the Univariate L-moments of Combined U and V

-- V --

vuongCOP The Vuong Procedure for Parametric Copula Comparison

-- W --

W The Fréchet-Hoeffding Lower Bound Copula
wolfCOP The Schweizer and Wolff Sigma of a Copula