Enjoy the Joy of Copulas: With a Package copula. Copulas have become a popular tool in multivariate modeling successfully applied in many fields. A good open-source implementation of copulas is much needed for more practitioners to enjoy the joy of copulas. This article presents the design, features, and some implementation details of the R package copula. The package provides a carefully designed and easily extensible platform for multivariate modeling with copulas in R. S4 classes for most frequently used elliptical copulas and Archimedean copulas are implemented, with methods for density/distribution evaluation, random number generation, and graphical display. Fitting copula-based models with maximum likelihood method is provided as template examples. With the classes and methods in the package, the package can be easily extended by user-defined copulas and margins to solve problems

This software is also peer reviewed by journal JSS.

References in zbMATH (referenced in 39 articles )

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  1. Du, Jiangze; Lai, Kin Keung: Copula-based risk management models for multivariable RMB exchange rate in the process of RMB internationalization (2017)
  2. Gijbels, Irène; Omelka, Marek; Pešta, Michal; Veraverbeke, Noël: Score tests for covariate effects in conditional copulas (2017)
  3. Shi, Xiaojun; Tang, Qihe; Yuan, Zhongyi: A limit distribution of credit portfolio losses with low default probabilities (2017)
  4. Tran, Hien Duy; Pham, Uyen Hoang; Ly, Sel; Vo-Duy, T.: Extraction dependence structure of distorted copulas via a measure of dependence (2017)
  5. Bücher, Axel; Kojadinovic, Ivan: An overview of nonparametric tests of extreme-value dependence and of some related statistical procedures (2016)
  6. Elberg, Christina; Hagspiel, Simeon: Spatial dependencies of wind power and interrelations with spot price dynamics (2015)
  7. Gijbels, Irène; Omelka, Marek; Veraverbeke, Noël: Partial and average copulas and association measures (2015)
  8. Lau, John W.; Cripps, Edward: Stick-breaking representation and computation for normalized generalized gamma processes (2015)
  9. Jordanger, Lars Arne; Tjøstheim, Dag: Model selection of copulas: AIC versus a cross validation copula information criterion (2014)
  10. Kauermann, Göran; Meyer, Renate: Penalized marginal likelihood estimation of finite mixtures of Archimedean copulas (2014)
  11. Salinas-Gutiérrez, Rogelio; Hernández-Aguirre, Arturo; Villa-Diharce, Enrique R.: Copula selection for graphical models in continuous estimation of distribution algorithms (2014)
  12. Venezuela, Maria Kelly; Artes, Rinaldo: Estimating equations and diagnostic techniques applied to zero-inflated models for panel data (2014)
  13. Czado, Claudia; Brechmann, Eike Christian; Gruber, Lutz: Selection of vine copulas (2013)
  14. Di Bernardino, Elena; Rullière, Didier: On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators (2013)
  15. Fang, Y.; Madsen, L.: Modified Gaussian pseudo-copula: applications in insurance and finance (2013)
  16. Gijbels, Irène; Sznajder, Dominik: Positive quadrant dependence testing and constrained copula estimation (2013)
  17. Gilleland, Eric; Ribatet, Mathieu; Stephenson, Alec G.: A software review for extreme value analysis (2013)
  18. Hofert, Marius; Mächler, Martin; McNeil, Alexander J.: Archimedean copulas in high dimensions: estimators and numerical challenges motivated by financial applications (2013)
  19. Kauermann, Göran; Schellhase, Christian; Ruppert, David: Flexible copula density estimation with penalized hierarchical B-splines (2013)
  20. Letmathe, Peter; Petersen, Lars; Schweitzer, Marcus: Capacity management under uncertainty with inter-process, intra-process and demand interdependencies in high-flexibility environments (2013)

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