copula

copula: Multivariate Dependence with Copulas. 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. Empirical copula and multivariate CDF. 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.


References in zbMATH (referenced in 12 articles )

Showing results 1 to 12 of 12.
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  1. Huser, Raphaël; Davison, Anthony C.; Genton, Marc G.: Likelihood estimators for multivariate extremes (2016)
  2. Kojadinovic, Ivan; Quessy, Jean-François; Rohmer, Tom: Testing the constancy of Spearman’s rho in multivariate time series (2016)
  3. Kosmidis, Ioannis; Karlis, Dimitris: Model-based clustering using copulas with applications (2016)
  4. Wang, Wan-Lun; Lin, Tsung-I: Maximum likelihood inference for the multivariate $t$ mixture model (2016)
  5. Foldnes, Njål; Grønneberg , Steffen: How general is the Vale-Maurelli simulation approach? (2015)
  6. Hlubinka, Daniel; Šiman, Miroslav: On generalized elliptical quantiles in the nonlinear quantile regression setup (2015)
  7. Mazo, Gildas; Girard, Stéphane; Forbes, Florence: A class of multivariate copulas based on products of bivariate copulas (2015)
  8. Targino, Rodrigo S.; Peters, Gareth W.; Shevchenko, Pavel V.: Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models (2015)
  9. Wadsworth, Jennifer L.: On the occurrence times of componentwise maxima and bias in likelihood inference for multivariate max-stable distributions (2015)
  10. Bücher, Axel; Kojadinovic, Ivan; Rohmer, Tom; Segers, Johan: Detecting changes in cross-sectional dependence in multivariate time series (2014)
  11. Venezuela, Maria Kelly; Artes, Rinaldo: Estimating equations and diagnostic techniques applied to zero-inflated models for panel data (2014)
  12. González-Barrios, José M.; Hernández-Cedillo, María M.: Sample $d$-copula of order $m$ (2013)