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copula

0.9-2
Package: 
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, Tawn, 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. Tests of extreme-value dependence.
Author: 
Jun Yan <jyan@stat.uconn.edu> and Ivan Kojadinovic <ivan@stat.auckland.ac.nz>.
License: 
GPL (>= 3)