R package 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 167 articles , 1 standard article )

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  1. Grazian, Clara; Dalla Valle, Luciana; Liseo, Brunero: Approximate Bayesian conditional copulas (2022)
  2. A. Grant Schissler, Edward J. Bedrick, Alexander D. Knudson, Tomasz J. Kozubowski, Tin Nguyen, Juli Petereit, Walter W. Piegorsch, Duc Tran: Simulating High-Dimensional Multivariate Data using the bigsimr R Package (2021) arXiv
  3. Ahn, Jae Youn; Fuchs, Sebastian; Oh, Rosy: A copula transformation in multivariate mixed discrete-continuous models (2021)
  4. Alanazi, Fadhah Amer: A mixture of regular vines for multiple dependencies (2021)
  5. Berrett, Thomas B.; Kontoyiannis, Ioannis; Samworth, Richard J.: Optimal rates for independence testing via (U)-statistic permutation tests (2021)
  6. Billio, Monica; Frattarolo, Lorenzo; Guégan, Dominique: Multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case (2021)
  7. Deng, Yihao; Chaganty, N. R.: Pair-copula models for analyzing family data (2021)
  8. Farnoudkia, Hajar; Purutçuoğlu, Vilda: Vine copula graphical models in the construction of biological networks (2021)
  9. Fuchs, Sebastian; Di Lascio, F. Marta L.; Durante, Fabrizio: Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables (2021)
  10. Gaigall, Daniel: Test for changes in the modeled solvency capital requirement of an internal risk model (2021)
  11. Górecki, Jan; Hofert, Marius; Okhrin, Ostap: Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation (2021)
  12. Hallin, Marc; Mordant, Gilles; Segers, Johan: Multivariate goodness-of-fit tests based on Wasserstein distance (2021)
  13. Jaser, Miriam; Min, Aleksey: On tests for symmetry and radial symmetry of bivariate copulas towards testing for ellipticity (2021)
  14. Jordi Tur, David Moriña, Pedro Puig, Alejandra Cabaña, Argimiro Arratia, Amanda Fernández-Fontelo: Good distribution modelling with the R package good (2021) arXiv
  15. Junker, Robert R.; Griessenberger, Florian; Trutschnig, Wolfgang: Estimating scale-invariant directed dependence of bivariate distributions (2021)
  16. Kasper, Thimo M.; Fuchs, Sebastian; Trutschnig, Wolfgang: On weak conditional convergence of bivariate Archimedean and extreme value copulas, and consequences to nonparametric estimation (2021)
  17. Kojadinovic, Ivan; Verdier, Ghislain: Nonparametric sequential change-point detection for multivariate time series based on empirical distribution functions (2021)
  18. Neumann, Matthias; Machado Charry, Eduardo; Zojer, Karin; Schmidt, Volker: On variability and interdependence of local porosity and local tortuosity in porous materials: a case study for sack paper (2021)
  19. Nowak, Claus P.; Konietschke, Frank: Simultaneous inference for Kendall’s tau (2021)
  20. Song, Zhi; Mukherjee, Amitava; Zhang, Jiujun: Some robust approaches based on copula for monitoring bivariate processes and component-wise assessment (2021)

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