Multivariate Dependence with Copulas


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Documentation for package ‘copula’ version 1.0-1

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

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

-- C --

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

-- D --

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
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

-- E --

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

-- F --

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"

-- H --

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
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

-- S --

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
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)