Classes (S4) of commonly used elliptical, Archimedean,
extreme value and some more copula families. Methods for
density, distribution, random number generation, bivariate
dependence measures, perspective and contour plots. Fitting
copula models including variance estimates. Independence and
serial (univariate and multivariate) independence tests, and
other copula related tests. Goodness-of-fit tests for copulas
based on multipliers, the parametric bootstrap with several
transformation options. Merged former package 'nacopula' for
nested Archimedean copulas: Efficient sampling algorithms,
various estimators, goodness-of-fit tests and related tools and
special functions.
| Version: |
0.999-6 |
| Depends: |
R (≥ 2.15.2), methods |
| Imports: |
stats4, stats, graphics, Matrix, gsl, ADGofTest, stabledist (≥ 0.6-4), mvtnorm, pspline |
| Suggests: |
lattice, MASS, KernSmooth, sfsmisc, bbmle, scatterplot3d, Rmpfr, colorspace, mvnormtest, tseries, zoo |
| Enhances: |
nor1mix |
| Published: |
2013-05-14 |
| Author: |
Marius Hofert, Ivan Kojadinovic, Martin Maechler, and Jun Yan |
| Maintainer: |
Martin Maechler <maechler at stat.math.ethz.ch> |
| License: |
GPL (≥ 3) | file LICENCE |
| NeedsCompilation: |
yes |
| Citation: |
copula citation info |
| In views: |
Distributions, Finance, Multivariate |
| CRAN checks: |
copula results |