Multivariate Dependence with Copulas

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 copula-package Multivariate Dependence Modeling with Copulas

-- A --

 A Generator Functions for Archimedean and Extreme-Value Copulas A-method Generator Functions for Archimedean and Extreme-Value Copulas A-methods Generator Functions for Archimedean and Extreme-Value Copulas A..Z Sinc, Zolotarev's, and Other Mathematical Utility Functions absdPsiMC Absolute Value of Generator Derivatives via Monte Carlo acopula Class "acopula" of Archimedean Copula Families acopula-class Class "acopula" of Archimedean Copula Families acopula-families Specific Archimedean Copula Families ("acopula" Objects) Afun Generator Functions for Archimedean and Extreme-Value Copulas AfunDer Generator Functions for Archimedean and Extreme-Value Copulas allComp All Components of a (Inner or Outer) Nested Archimedean Copula amhCopula Construction of Archimedean Copula Class Object amhCopula-class Class "archmCopula" An Nonparametric Rank-based Estimators of the Pickands Dependence Function An.biv Nonparametric Rank-based Estimators of the Pickands Dependence Function Anfun Nonparametric Rank-based Estimators of the Pickands Dependence Function archmCopula Construction of Archimedean Copula Class Object archmCopula-class Class "archmCopula" asym2Copula-class Class '"khoudrajiCopula"' and its Subclasses asymCopula Construction of copulas using Khoudraji's device asymCopula-class Class '"khoudrajiCopula"' and its Subclasses asymExplicitCopula Construction of copulas using Khoudraji's device

-- B --

 Bernoulli Compute Bernoulli Numbers Bernoulli.all Compute Bernoulli Numbers beta. Sample and Population Version of Blomqvist's Beta for Archimedean Copulas beta.hat Sample and Population Version of Blomqvist's Beta for Archimedean Copulas betan Sample and Population Version of Blomqvist's Beta for Archimedean Copulas

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 C.n The Empirical Copula cacopula Conditional Distributions and Their Inverses from Copulas calibKendallsTau Dependence Measures for Bivariate Copulas calibSpearmansRho Dependence Measures for Bivariate Copulas cCopula Conditional Distributions and Their Inverses from Copulas claytonCopula Construction of Archimedean Copula Class Object claytonCopula-class Class "archmCopula" cloud2 Cloud Plot Methods ('cloud2') in Package 'copula' cloud2-method Cloud Plot Methods ('cloud2') in Package 'copula' cloud2-methods Cloud Plot Methods ('cloud2') in Package 'copula' Cn The Empirical Copula coef.fittedMV Estimation of Multivariate Models Defined via Copulas coeffG Coefficients of Polynomial used for Gumbel Copula contour-method Methods for Contour Plots in Package 'copula' contour-methods Methods for Contour Plots in Package 'copula' contourplot2 Contour Plot Methods 'contourplot2' in Package 'copula' contourplot2-method Contour Plot Methods 'contourplot2' in Package 'copula' contourplot2-methods Contour Plot Methods 'contourplot2' in Package 'copula' copAMH Specific Archimedean Copula Families ("acopula" Objects) copClayton Specific Archimedean Copula Families ("acopula" Objects) copFrank Specific Archimedean Copula Families ("acopula" Objects) copGumbel Specific Archimedean Copula Families ("acopula" Objects) copJoe Specific Archimedean Copula Families ("acopula" Objects) Copula Density, Evaluation, and Random Number Generation for Copula Functions Copula-class Mother Classes "Copula", etc of all Copulas in the Package copula-class Mother Classes "Copula", etc of all Copulas in the Package corKendall (Fast) Computation of Pairwise Kendall's Taus

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 dAdu Generator Functions for Archimedean and Extreme-Value Copulas dAdu-method Generator Functions for Archimedean and Extreme-Value Copulas dAdu-methods Generator Functions for Archimedean and Extreme-Value Copulas dCn The Empirical Copula dCopula Density, Evaluation, and Random Number Generation for Copula Functions dcopula Density, Evaluation, and Random Number Generation for Copula Functions dCopula-method Density, Evaluation, and Random Number Generation for Copula Functions dCopula-method Density Evaluation for (Nested) Archimedean Copulas dDiag Density of the Diagonal of (Nested) Archimedean Copulas debye1 Polylogarithm Li_s(z) and Debye Functions debye2 Polylogarithm Li_s(z) and Debye Functions dependogram Test Independence of Continuous Random Variables via Empirical Copula describeCop Copula (Short) Description as String describeCop-method Copula (Short) Description as String describeCop-methods Copula (Short) Description as String dim-method Class '"khoudrajiCopula"' and its Subclasses dim-method Mother Classes "Copula", etc of all Copulas in the Package dim-method Class "empCopula" of Empirical Copulas dim-method Class '"mixCopula"' of Copula Mixtures dim-method Class "mvdc": Multivariate Distributions from Copulas dim-method Class "nacopula" of Nested Archimedean Copulas dim-method Construction and Class of Rotated aka Reflected Copulas dimCopula-class Mother Classes "Copula", etc of all Copulas in the Package diPsi Generator Functions for Archimedean and Extreme-Value Copulas diPsi-method Generator Functions for Archimedean and Extreme-Value Copulas diPsi-methods Generator Functions for Archimedean and Extreme-Value Copulas dispstrToep Construction of Elliptical Copula Class Objects dK Kendall Distribution Function for Archimedean Copulas dMvdc Multivariate Distributions Constructed from Copulas dmvdc Multivariate Distributions Constructed from Copulas dnacopula Density Evaluation for (Nested) Archimedean Copulas dSibuya Sibuya Distribution - Sampling and Probabilities dsumSibuya Sibuya Distribution - Sampling and Probabilities

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 ebeta Various Estimators for (Nested) Archimedean Copulas edmle Various Estimators for (Nested) Archimedean Copulas ellipCopula Construction of Elliptical Copula Class Objects ellipCopula-class Class "ellipCopula" of Elliptical Copulas emde Minimum Distance Estimators for (Nested) Archimedean Copulas emle Maximum Likelihood Estimators for (Nested) Archimedean Copulas empCopula The Empirical Copula empCopula-class Class "empCopula" of Empirical Copulas enacopula Estimation Procedures for (Nested) Archimedean Copulas etau Various Estimators for (Nested) Archimedean Copulas Eulerian Eulerian and Stirling Numbers of First and Second Kind Eulerian.all Eulerian and Stirling Numbers of First and Second Kind evCopula Construction of Extreme-Value Copula Objects evCopula-class Classes Representing Extreme-Value Copulas evTestA Bivariate Test of Extreme-Value Dependence Based on Pickands' Dependence Function evTestC Large-sample Test of Multivariate Extreme-Value Dependence evTestK Bivariate Test of Extreme-Value Dependence Based on Kendall's Distribution exchEVTest Test of Exchangeability for Certain Bivariate Copulas exchTest Test of Exchangeability for a Bivariate Copula extremePairs Tools to Work with Matrices

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 F.n The Empirical Copula fgmCopula Construction of a fgmCopula Class Object fgmCopula-class Class "fgmCopula" - Multivariate Multiparameter Farlie-Gumbel-Morgenstern Copulas fhCopula Construction of Fréchet-Hoeffding Bound Copula Objects fhCopula-class Class "fhCopula" of Fréchet-Hoeffding Bound Copulas fitCopula Fitting Copulas to Data - Copula Parameter Estimation fitCopula-class Classes of Fitted Multivariate Models: Copula, Mvdc fitCopula-method Fitting Copulas to Data - Copula Parameter Estimation fitCopula-methods Fitting Copulas to Data - Copula Parameter Estimation fitLambda Non-parametric Estimators of the Matrix of Tail-Dependence Coefficients fitMvdc Estimation of Multivariate Models Defined via Copulas fitMvdc-class Classes of Fitted Multivariate Models: Copula, Mvdc fittedMV-class Classes of Fitted Multivariate Models: Copula, Mvdc fixedParam<- Fix a Subset of a Copula Parameter Vector fixedParam<--method Fix a Subset of a Copula Parameter Vector fixParam Fix a Subset of a Copula Parameter Vector format-method Class "interval" of Simple Intervals frankCopula Construction of Archimedean Copula Class Object frankCopula-class Class "archmCopula"

-- G --

 galambosCopula Construction of Extreme-Value Copula Objects galambosCopula-class Classes Representing Extreme-Value Copulas gasoil Daily Crude Oil and Natural Gas Prices from 2003 to 2006 genFun Generator Functions for Archimedean and Extreme-Value Copulas genFunDer1 Generator Functions for Archimedean and Extreme-Value Copulas genFunDer2 Generator Functions for Archimedean and Extreme-Value Copulas genInv Generator Functions for Archimedean and Extreme-Value Copulas getAcop Get "acopula" Family Object by Name getAname Get "acopula" Family Object by Name getIniParam Get Initial Parameter Estimate for Copula getIniParam-method Get Initial Parameter Estimate for Copula getSigma Tools to Work with Matrices getTheta Get the Parameter(s) of a Copula getTheta-method Get the Parameter(s) of a Copula getTheta-methods Get the Parameter(s) of a Copula gnacopula Goodness-of-fit Testing for (Nested) Archimedean Copulas gofBTstat Various Goodness-of-fit Test Statistics gofCopula Goodness-of-fit Tests for Copulas gofCopula-method Goodness-of-fit Tests for Copulas gofCopula-methods Goodness-of-fit Tests for Copulas gofEVCopula Goodness-of-fit Tests for Bivariate Extreme-Value Copulas gofMB Goodness-of-fit Tests for Copulas gofPB Goodness-of-fit Tests for Copulas gofT2stat Goodness-of-fit Test Statistics gofTstat Goodness-of-fit Test Statistics gpviTest Computations for Graphical GOF Test via Pairwise Rosenblatt Transforms gumbelCopula Construction of Archimedean Copula Class Object gumbelCopula-class Class "archmCopula"

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 htrafo GOF Testing Transformation of Hering and Hofert huslerReissCopula Construction of Extreme-Value Copula Objects huslerReissCopula-class Classes Representing Extreme-Value Copulas

-- I --

 indepCopula Construction of Independence Copula Objects indepCopula-class Class "indepCopula" indepTest Test Independence of Continuous Random Variables via Empirical Copula indepTestSim Test Independence of Continuous Random Variables via Empirical Copula initialize-method Class "acopula" of Archimedean Copula Families initOpt Initial Interval or Value for Parameter Estimation of Archimedean Copulas interval Construct Simple "interval" Object interval-class Class "interval" of Simple Intervals iPsi Generator Functions for Archimedean and Extreme-Value Copulas iPsi-method Generator Functions for Archimedean and Extreme-Value Copulas iPsi-methods Generator Functions for Archimedean and Extreme-Value Copulas iRho Dependence Measures for Bivariate Copulas iRho-method Dependence Measures for Bivariate Copulas iRho-methods Dependence Measures for Bivariate Copulas isFree Fix a Subset of a Copula Parameter Vector isFree-method Fix a Subset of a Copula Parameter Vector isFreeP Fix a Subset of a Copula Parameter Vector iTau Dependence Measures for Bivariate Copulas iTau-method Dependence Measures for Bivariate Copulas iTau-methods Dependence Measures for Bivariate Copulas

-- J --

 joeCopula Construction of Archimedean Copula Class Object joeCopula-class Class "archmCopula"

-- K --

 K Kendall Distribution Function for Archimedean Copulas kendallsTau Dependence Measures for Bivariate Copulas khoudrajiBivCopula-class Class '"khoudrajiCopula"' and its Subclasses khoudrajiCopula Construction of copulas using Khoudraji's device khoudrajiCopula-class Class '"khoudrajiCopula"' and its Subclasses khoudrajiExplicitCopula-class Class '"khoudrajiCopula"' and its Subclasses Kn Kendall Distribution Function for Archimedean Copulas

-- L --

 lambda Dependence Measures for Bivariate Copulas lambda-method Dependence Measures for Bivariate Copulas lambda-method Class '"mixCopula"' of Copula Mixtures lambda-methods Dependence Measures for Bivariate Copulas log1mexp Compute f(a) = log(1 +/- exp(-a)) Numerically Optimally log1pexp Compute f(a) = log(1 +/- exp(-a)) Numerically Optimally logLik.fittedMV Estimation of Multivariate Models Defined via Copulas loglikCopula Fitting Copulas to Data - Copula Parameter Estimation loglikCopulaMany Fitting Copulas to Data - Copula Parameter Estimation loglikMvdc Estimation of Multivariate Models Defined via Copulas loss LOSS and ALAE Insurance Data lowfhCopula Construction of Fréchet-Hoeffding Bound Copula Objects lowfhCopula-class Class "fhCopula" of Fréchet-Hoeffding Bound Copulas lSMI SMI Data - 141 Days in Winter 2011/2012

-- M --

 margCopula Marginal copula of a Copula With Specified Margins margCopula-method Marginal copula of a Copula With Specified Margins maybeInterval-class Class "interval" of Simple Intervals mixCopula Create Mixture of Copulas mixCopula-class Class '"mixCopula"' of Copula Mixtures moCopula The Marshall-Olkin Copula moCopula-class Class "moCopula" of Marshall-Olkin Copulas multIndepTest Independence Test Among Continuous Random Vectors Based on the Empirical Copula Process multSerialIndepTest Serial Independence Test for Multivariate Time Series via Empirical Copula Mvdc Multivariate Distributions Constructed from Copulas mvdc Multivariate Distributions Constructed from Copulas mvdc-class Class "mvdc": Multivariate Distributions from Copulas

-- N --

 nac2list Constructing (Outer) Nested Archimedean Copulas nacFrail.time Timing for Sampling Frailties of Nested Archimedean Copulas nacopula Constructing (Outer) Nested Archimedean Copulas nacopula-class Class "nacopula" of Nested Archimedean Copulas nacPairthetas Pairwise Thetas of Nested Archimedean Copulas nesdepth Nesting Depth of a Nested Archimedean Copula ("nacopula") normalCopula Construction of Elliptical Copula Class Objects normalCopula-class Class "ellipCopula" of Elliptical Copulas nParam Fix a Subset of a Copula Parameter Vector nParam-method Fix a Subset of a Copula Parameter Vector

-- O --

 onacopula Constructing (Outer) Nested Archimedean Copulas onacopulaL Constructing (Outer) Nested Archimedean Copulas opower Outer Power Transformation of Archimedean Copulas optimMeth Fitting Copulas to Data - Copula Parameter Estimation outer_nacopula-class Class "nacopula" of Nested Archimedean Copulas

-- P --

 P2p Tools to Work with Matrices p2P Tools to Work with Matrices pacR Distribution of the Radial Part of an Archimedean Copula pairs2 Scatter-Plot Matrix ('pairs') for Copula Distributions with Nice Defaults pairsColList Plots for Graphical GOF Test via Pairwise Rosenblatt Transforms pairsRosenblatt Plots for Graphical GOF Test via Pairwise Rosenblatt Transforms pairwiseCcop Computations for Graphical GOF Test via Pairwise Rosenblatt Transforms pairwiseIndepTest Computations for Graphical GOF Test via Pairwise Rosenblatt Transforms parCopula-class Mother Classes "Copula", etc of all Copulas in the Package pCopula Density, Evaluation, and Random Number Generation for Copula Functions pcopula Density, Evaluation, and Random Number Generation for Copula Functions pCopula-method Density, Evaluation, and Random Number Generation for Copula Functions pCopula-method Construction of Elliptical Copula Class Objects pCopula-method Evaluation of (Nested) Archimedean Copulas persp-method Methods for Function 'persp' in Package 'copula' persp-methods Methods for Function 'persp' in Package 'copula' pK Kendall Distribution Function for Archimedean Copulas plackettCopula Construction of a Plackett Copula plackettCopula-class Class "plackettCopula" of Plackett Copulas plot-method Methods for 'plot' in Package 'copula' plot-methods Methods for 'plot' in Package 'copula' pMvdc Multivariate Distributions Constructed from Copulas pmvdc Multivariate Distributions Constructed from Copulas pnacopula Evaluation of (Nested) Archimedean Copulas pobs Pseudo-Observations polylog Polylogarithm Li_s(z) and Debye Functions polynEval Evaluate Polynomials printNacopula Print Compact Overview of a Nested Archimedean Copula ("nacopula") prob Computing Probabilities of Hypercubes prob-method Computing Probabilities of Hypercubes prob-methods Computing Probabilities of Hypercubes psi Generator Functions for Archimedean and Extreme-Value Copulas psi-method Generator Functions for Archimedean and Extreme-Value Copulas psi-methods Generator Functions for Archimedean and Extreme-Value Copulas pSibuya Sibuya Distribution - Sampling and Probabilities psiDabsMC Absolute Value of Generator Derivatives via Monte Carlo pviTest Computations for Graphical GOF Test via Pairwise Rosenblatt Transforms

-- Q --

 qacR Distribution of the Radial Part of an Archimedean Copula qK Kendall Distribution Function for Archimedean Copulas qqplot2 Q-Q Plot with Rugs and Pointwise Asymptotic Confidence Intervals

-- R --

 radSymTest Test of Exchangeability for a Bivariate Copula rAntitheticVariates Variance-Reduction Methods rCopula Density, Evaluation, and Random Number Generation for Copula Functions rcopula Density, Evaluation, and Random Number Generation for Copula Functions rCopula-method Density, Evaluation, and Random Number Generation for Copula Functions rdj Daily Returns of Three Stocks in the Dow Jones retstable Sampling Exponentially Tilted Stable Distributions retstableR Sampling Exponentially Tilted Stable Distributions rF01Frank Sample Univariate Distributions Involved in Nested Frank and Joe Copulas rF01Joe Sample Univariate Distributions Involved in Nested Frank and Joe Copulas rFFrank Sampling Distribution F for Frank and Joe rFJoe Sampling Distribution F for Frank and Joe rho Dependence Measures for Bivariate Copulas rho-method Dependence Measures for Bivariate Copulas rho-method Class '"mixCopula"' of Copula Mixtures rho-methods Dependence Measures for Bivariate Copulas rK Kendall Distribution Function for Archimedean Copulas rLatinHypercube Variance-Reduction Methods rlog Sampling Logarithmic Distributions rlogR Sampling Logarithmic Distributions rMvdc Multivariate Distributions Constructed from Copulas rmvdc Multivariate Distributions Constructed from Copulas rnacModel Random nacopula Model rnacopula Sampling Nested Archimedean Copulas rnchild Sampling Child 'nacopula's rotCopula Construction and Class of Rotated aka Reflected Copulas rotCopula-class Construction and Class of Rotated aka Reflected Copulas rSibuya Sibuya Distribution - Sampling and Probabilities rSibuyaR Sibuya Distribution - Sampling and Probabilities RSpobs Pseudo-Observations of Radial and Uniform Part of Elliptical and Archimedean Copulas rstable Random numbers from (Skew) Stable Distributions rstable1 Random numbers from (Skew) Stable Distributions rtrafo Conditional Distributions and Their Inverses from Copulas

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 safeUroot One-dimensional Root (Zero) Finding - Extra "Safety" for Convenience serialIndepTest Serial Independence Test for Continuous Time Series Via Empirical Copula serialIndepTestSim Serial Independence Test for Continuous Time Series Via Empirical Copula setTheta Specify the Parameter(s) of a Copula setTheta-method Specify the Parameter(s) of a Copula show-method Class "acopula" of Archimedean Copula Families show-method Class "interval" of Simple Intervals show-method Class "mvdc": Multivariate Distributions from Copulas show-method Print Compact Overview of a Nested Archimedean Copula ("nacopula") show-method Methods for 'show()' in Package 'copula' show-methods Methods for 'show()' in Package 'copula' Sibuya Sibuya Distribution - Sampling and Probabilities sinc Sinc, Zolotarev's, and Other Mathematical Utility Functions SMI.12 SMI Data - 141 Days in Winter 2011/2012 spearmansRho Dependence Measures for Bivariate Copulas splom2 Methods for Scatter Plot Matrix 'splom2' in Package 'copula' splom2-method Methods for Scatter Plot Matrix 'splom2' in Package 'copula' splom2-methods Methods for Scatter Plot Matrix 'splom2' in Package 'copula' Stirling1 Eulerian and Stirling Numbers of First and Second Kind Stirling1.all Eulerian and Stirling Numbers of First and Second Kind Stirling2 Eulerian and Stirling Numbers of First and Second Kind Stirling2.all Eulerian and Stirling Numbers of First and Second Kind Summary-method Class "interval" of Simple Intervals summary-method Classes of Fitted Multivariate Models: Copula, Mvdc summaryFitCopula-class Classes of Fitted Multivariate Models: Copula, Mvdc summaryFitMvdc-class Classes of Fitted Multivariate Models: Copula, Mvdc

-- T --

 tailIndex Dependence Measures for Bivariate Copulas tau Dependence Measures for Bivariate Copulas tau-method Dependence Measures for Bivariate Copulas tau-methods Dependence Measures for Bivariate Copulas tauAMH Ali-Mikhail-Haq ("AMH")'s and Joe's Kendall's Tau tauJoe Ali-Mikhail-Haq ("AMH")'s and Joe's Kendall's Tau tawnCopula Construction of Extreme-Value Copula Objects tawnCopula-class Classes Representing Extreme-Value Copulas tCopula Construction of Elliptical Copula Class Objects tCopula-class Class "ellipCopula" of Elliptical Copulas tevCopula Construction of Extreme-Value Copula Objects tevCopula-class Classes Representing Extreme-Value Copulas toEmpMargins The Empirical Copula

-- U --

 upfhCopula Construction of Fréchet-Hoeffding Bound Copula Objects upfhCopula-class Class "fhCopula" of Fréchet-Hoeffding Bound Copulas uranium Uranium Exploration Dataset of Cook & Johnson (1986)

-- V --

 vcov.fittedMV Estimation of Multivariate Models Defined via Copulas

-- W --

 wireframe2 Perspective Plots - 'wireframe2' in Package 'copula' wireframe2-method Perspective Plots - 'wireframe2' in Package 'copula' wireframe2-methods Perspective Plots - 'wireframe2' in Package 'copula'

-- X --

 Xcopula-class Mother Classes "Copula", etc of all Copulas in the Package xcopula-class Mother Classes "Copula", etc of all Copulas in the Package xvCopula Model (copula) selection based on 'k'-fold cross-validation

-- misc --

 %in%-method Class "interval" of Simple Intervals .ac.classNames Get "acopula" Family Object by Name .ac.longNames Get "acopula" Family Object by Name .ac.objNames Get "acopula" Family Object by Name .ac.shortNames Get "acopula" Family Object by Name .emle Maximum Likelihood Estimators for (Nested) Archimedean Copulas .pairsCond Pairs Plot of a cu.u Object (Internal Use)