• copula

  • Referenced in 49 articles [sw14499]
  • package copula: Multivariate Dependence with Copulas. Classes (S4) of commonly used elliptical, Archimedean, extreme value ... plots. Fitting copula models including variance estimates. Independence and serial (univariate and multivariate) independence tests ... other copula related tests. Empirical copula and multivariate CDF. Goodness-of-fit tests for copulas...
  • copula

  • Referenced in 94 articles [sw07944]
  • Package copula. Copulas have become a popular tool in multivariate modeling successfully applied in many ... easily extensible platform for multivariate modeling with copulas in R. S4 classes for most frequently...
  • Linkages

  • Referenced in 17 articles [sw01332]
  • univariate marginals is the copula function. Using it, any multivariate distribution function can be represented...
  • SimCop

  • Referenced in 1 article [sw24159]
  • generating random variates from arbitrary multivariate copulae, while concentrating on (bivariate) extreme value copulae. Particularly ... useful if the multivariate copulae are not available in closed form...
  • rmgarch

  • Referenced in 7 articles [sw26851]
  • GARCH Models. Feasible multivariate GARCH models including DCC, GO-GARCH and Copula-GARCH...
  • PBC

  • Referenced in 1 article [sw14398]
  • model, a class of multivariate copulas based on products of bivariate copulas (G. Mazo...
  • Gumbel

  • Referenced in 1 article [sw22142]
  • density functions), simulation function (Gumbel copula multivariate simulation) and estimation functions (Maximum Likelihood Estimation, Inference...
  • CoClust

  • Referenced in 3 articles [sw19990]
  • means of copula functions. Copulas are popular multivariate tools whose importance within clustering methods ... cluster dependent data according to the multivariate structure of the generating process without any assumption ... based on the log-likelihood of a copula fit. We test our proposal on simulated...
  • gcmr

  • Referenced in 19 articles [sw07433]
  • identifies and develops the class of Gaussian copula models for marginal regression analysis ... Dependence is conveniently modelled in terms of multivariate normal errors. Inference is performed through...
  • bfa

  • Referenced in 9 articles [sw07430]
  • Bayesian Gaussian copula factor models for mixed data Gaussian factor models have proven widely useful ... parsimoniously characterizing dependence in multivariate data. There is rich literature on their extension to mixed ... propose a novel class of Bayesian Gaussian copula factor models that decouple the latent factors...
  • CoImp

  • Referenced in 1 article [sw23672]
  • imputation procedure for missing multivariate data based on conditional copula specifications...
  • kdevine

  • Referenced in 2 articles [sw20086]
  • package kdevine: Multivariate Kernel Density Estimation with Vine Copulas. Implements the vine copula based kernel...
  • sbgcop

  • Referenced in 3 articles [sw11945]
  • This package estimates parameters of a Gaussian copula, treating the univariate marginal distributions as nuisance ... provides a semiparametric imputation procedure for missing multivariate data...
  • CRAN Distributions

  • Referenced in 1 article [sw08026]
  • useful distributions. In particular, multivariate distributions as well as copulas are available in contributed packages...
  • lmomco

  • Referenced in 4 articles [sw14732]
  • Wakeby [L], and Weibull [L]. LMs have multivariate analogs; the sample L-comoments (LCMs ... implemented and might have considerable application with copulas because LCMs measure asymmetric association and higher...
  • MTS

  • Referenced in 3 articles [sw15485]
  • package handles several commonly used models, including multivariate exponentially weighted moving-average volatility, Cholesky decomposition ... volatility models, dynamic conditional correlation (DCC) models, copula-based volatility models, and low-dimensional BEKK ... analysis, Bayesian estimation of VAR models, and multivariate time series analysis with missing values.Users...
  • FDGcopulas

  • Referenced in 0 articles [sw15273]
  • package FDGcopulas: Multivariate Dependence with FDG Copulas. FDG copulas are a class of copulas featuring...
  • npcp

  • Referenced in 6 articles [sw14395]
  • assessing whether possibly serially dependent univariate or multivariate observations have the same c.d.f ... particularly sensitive to changes in the underlying copula, Spearman’s rho or certain quantities that...
  • sirt

  • Referenced in 4 articles [sw15945]
  • models and testlet models, NOHARM, Rasch copula model, faceted and hierarchical rater models, ordinal ... LSEM), mean and covariance structure modelling for multivariate normally distributed data...
  • GJRM

  • Referenced in 3 articles [sw23082]
  • modeling framework for fitting a number of multivariate response regression models under various sampling schemes ... Gaussian dependencies through the use of copulae, and for the association and mean parameters...