copula

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 47 articles )

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  1. Berghaus, Betina; Segers, Johan: Weak convergence of the weighted empirical beta copula process (2018)
  2. Tajvidi, N.; Turlach, B.A.: A general approach to generate random variates for multivariate copulae (2018)
  3. Bilodeau, Martin; Nangue, Aurélien Guetsop: Tests of mutual or serial independence of random vectors with applications (2017)
  4. Du, Jiangze; Lai, Kin Keung: Copula-based risk management models for multivariable RMB exchange rate in the process of RMB internationalization (2017)
  5. Gijbels, Irène; Omelka, Marek; Pešta, Michal; Veraverbeke, Noël: Score tests for covariate effects in conditional copulas (2017)
  6. Shi, Xiaojun; Tang, Qihe; Yuan, Zhongyi: A limit distribution of credit portfolio losses with low default probabilities (2017)
  7. Tran, Hien Duy; Pham, Uyen Hoang; Ly, Sel; Vo-Duy, T.: Extraction dependence structure of distorted copulas via a measure of dependence (2017)
  8. Bücher, Axel; Kojadinovic, Ivan: An overview of nonparametric tests of extreme-value dependence and of some related statistical procedures (2016)
  9. M. Wojtys; Giampiero Marra; Rosalba Radice: Copula Regression Spline Sample Selection Models: The R Package SemiParSampleSel (2016)
  10. Bacigál, Tomáš; Mesiar, Radko; Najjari, Vadoud: Generators of copulas and aggregation (2015)
  11. Binois, Mickaël; Rullière, Didier; Roustant, Olivier: On the estimation of Pareto fronts from the point of view of copula theory (2015)
  12. Elberg, Christina; Hagspiel, Simeon: Spatial dependencies of wind power and interrelations with spot price dynamics (2015)
  13. Gijbels, Irène; Omelka, Marek; Veraverbeke, Noël: Partial and average copulas and association measures (2015)
  14. Lau, John W.; Cripps, Edward: Stick-breaking representation and computation for normalized generalized gamma processes (2015)
  15. Geir Berentsen; Tore Kleppe; Dag Tjøstheim: Introducing localgauss, an R Package for Estimating and Visualizing Local Gaussian Correlation (2014)
  16. Jordanger, Lars Arne; Tjøstheim, Dag: Model selection of copulas: AIC versus a cross validation copula information criterion (2014)
  17. Kauermann, Göran; Meyer, Renate: Penalized marginal likelihood estimation of finite mixtures of Archimedean copulas (2014)
  18. Salinas-Gutiérrez, Rogelio; Hernández-Aguirre, Arturo; Villa-Diharce, Enrique R.: Copula selection for graphical models in continuous estimation of distribution algorithms (2014)
  19. Venezuela, Maria Kelly; Artes, Rinaldo: Estimating equations and diagnostic techniques applied to zero-inflated models for panel data (2014)
  20. Czado, Claudia; Brechmann, Eike Christian; Gruber, Lutz: Selection of vine copulas (2013)

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