• copula

  • Referenced in 167 articles [sw14499]
  • perspective and contour plots. Fitting copula models including variance estimates. Independence and serial (univariate ... nacopula’ for nested Archimedean copulas: Efficient sampling algorithms, various estimators, goodness-of-fit tests...
  • TwoCop

  • Referenced in 59 articles [sw12359]
  • equality between two dependence structures estimated through empirical copulas. We provide inference for independent...
  • CDVine

  • Referenced in 52 articles [sw08161]
  • well as vine copula selection. Models can be estimated either sequentially or by joint maximum ... likelihood estimation. Sampling algorithms and plotting methods are also included. Data is assumed ... unit hypercube (so-called copula data...
  • VineCopula

  • Referenced in 39 articles [sw08160]
  • analysis, bivariate copula selection and (vine) tree construction. Models can be estimated either sequentially ... joint maximum likelihood estimation. Sampling algorithms and plotting methods are also included. Data is assumed ... unit hypercube (so-called copula data). For C- and D-vines links to the package...
  • HAC

  • Referenced in 11 articles [sw11199]
  • Visualization of Hierarchical Archimedean Copulae (HAC). Package provides the estimation of the structure ... methods and structural plots of Hierarchical Archimedean Copulae...
  • sbgcop

  • Referenced in 5 articles [sw11945]
  • package sbgcop: Semiparametric Bayesian Gaussian copula estimation and imputation. This package estimates parameters...
  • idr

  • Referenced in 7 articles [sw11205]
  • rate. This is a package for estimating the copula mixture model and plotting correspondence curves...
  • nacopula

  • Referenced in 49 articles [sw06778]
  • package for working with nested Archimedean copulas. Specifically, providing procedures for computing function values ... tail dependence coefficients, efficient sampling algorithms, various estimators, and goodness-of-fit tests. The package...
  • penDvine

  • Referenced in 2 articles [sw16858]
  • package penDvine: flexible pair-copula estimation in D-vines using bivariate penalized splines. Flexible Pair ... Copula Estimation in D-vines using Bivariate Penalized Splines...
  • copent

  • Referenced in 1 article [sw33918]
  • package copent: Estimating Copula Entropy. The nonparametric method for estimating copula entropy is implemented ... empirical copula by rank statistic and estimating copula entropy with k-Nearest-Neighbour method. Copula ... equivalent to mutual information. Estimating copula entropy can be applied to many cases, including ... variable selection and causal discovery (by estimating transfer entropy). Please refer...
  • kdecopula

  • Referenced in 8 articles [sw20374]
  • smoothing techniques for bivariate copula densities, in particular density estimation and resampling...
  • kdevine

  • Referenced in 3 articles [sw20086]
  • package kdevine: Multivariate Kernel Density Estimation with Vine Copulas. Implements the vine copula based kernel...
  • huge

  • Referenced in 44 articles [sw08466]
  • Compared with the existing graph estimation package glasso, the huge package provides extra features ... functions for fitting high dimensional semiparametric Gaussian copula models; (3) more functions like data-dependent...
  • copulaedas

  • Referenced in 3 articles [sw10934]
  • package copulaedas: Estimation of Distribution Algorithms Based on Copulas. This package provides a platform where ... Estimation of Distribution Algorithms (EDAs) based on copulas can be implemented and studied. It contains...
  • pencopula

  • Referenced in 1 article [sw21033]
  • package pencopula: Flexible Copula Density Estimation with Penalized Hierarchical B-Splines. Flexible copula density estimation...
  • HMMcopula

  • Referenced in 1 article [sw32774]
  • package HMMcopula: Markov Regime Switching Copula Models Estimation and Goodness of Fit. R functions ... estimate and perform goodness of fit test for several Markov regime switching and mixture bivariate ... copula models. The goodness of fit test is based on a Cramer von Mises statistic ... estimate the p-value. The estimation of the copula parameters are based on the pseudo...
  • heckmancopula

  • Referenced in 2 articles [sw37451]
  • Stata commands heckmancopula, switchcopula: Copula-based maximum-likelihood estimation of sample-selection models. Sample-selection ... leads to inconsistency of a maximum likelihood estimator. Early work on sample-selection models that ... this is a special case of the copula approach that Smith (2003) applies to sample ... maximum likelihood estimation of sample-selection mod- els with the copula approach to relax...
  • lcopula

  • Referenced in 2 articles [sw29273]
  • allowing random number generations and estimation of ’Liouville’ copulas...
  • npcp

  • Referenced in 9 articles [sw14395]
  • underlying copula, Spearman’s rho or certain quantities that can be estimated using one-sample...
  • pencopulaCond

  • Referenced in 1 article [sw31347]
  • package pencopulaCond: Estimating Non-Simplified Vine Copulas Using Penalized Splines. Estimating Non-Simplified Vine Copulas...