copula
Multivariate Dependence with Copulas
Classes (S4) of commonly used elliptical, Archimedean, extreme-value and other copula families, as well as their rotations, mixtures and asymmetrizations. Nested Archimedean copulas, related tools and special functions. Methods for density, distribution, random number generation, bivariate dependence measures, Rosenblatt transform, Kendall distribution function, perspective and contour plots. Fitting of copula models with potentially partly fixed parameters, including standard errors. Serial independence tests, copula specification tests (independence, exchangeability, radial symmetry, extreme-value dependence, goodness-of-fit) and model selection based on cross-validation. Empirical copula, smoothed versions, and non-parametric estimators of the Pickands dependence function.
- https://copula.r-forge.r-project.org/
- https://r-forge.r-project.org/projects/copula/
- https://CRAN.r-project.org/package=copula
- File a bug report
- copula results
- copula.pdf
- Version1.1-5
- R versionR (≥ 3.5.0)
- LicenseGPL (≥ 3)
- LicenseLICENCE
- Needs compilation?Yes
- copula citation info
- Last release02/09/2025
Documentation
- VignetteArchimedean Liouville Copulas
- VignetteMLE and Quantile Evaluation for a Clayton AR(1) Model with Student Marginals
- VignetteGeneralized Inverse Gaussian Archimedean Copulas
- VignetteHierarchical Archimax Copulas
- VignetteNested Archimedean Lévy Copulas
- VignetteThe Copula GARCH Model
- VignetteDensities of Two-Level Nested Archimedean Copulas
- VignetteExploring Empirical Copulas
- VignetteLog-Likelihood Visualization for Archimedean Copulas
- VignetteQuasi-Random Numbers for Copula Models
- VignetteWild Animals: Examples of Nonstandard Copulas
- VignetteNumerically stable Frank Copulas via Multiprecision (Rmpfr)
- VignetteNested Archimedean Copulas Meet R
- VignetteBeautiful Spearman's Rho for AMH Copula
- MaterialNEWS
- MaterialChangeLog
- In ViewsDistributions
- In ViewsExtremeValue
- In ViewsFinance
Team
Martin Maechler
MaintainerShow author detailsJohanna G. Nešlehová
Jun Yan
Rebecca Morger
Show author detailsRolesContributorMarius Hofert
Ivan Kojadinovic
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Dependencies
- Imports10 packages
- Enhances2 packages
- Suggests26 packages
- Reverse Depends14 packages
- Reverse Imports50 packages
- Reverse Suggests21 packages
- Reverse Enhances1 package