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.
This software is also peer reviewed by journal JSS.
Keywords for this software
References in zbMATH (referenced in 145 articles , 1 standard article )
Showing results 1 to 20 of 145.
Sorted by year (- Grazian, Clara; Dalla Valle, Luciana; Liseo, Brunero: Approximate Bayesian conditional copulas (2022)
- Ahn, Jae Youn; Fuchs, Sebastian; Oh, Rosy: A copula transformation in multivariate mixed discrete-continuous models (2021)
- Alanazi, Fadhah Amer: A mixture of regular vines for multiple dependencies (2021)
- Berrett, Thomas B.; Kontoyiannis, Ioannis; Samworth, Richard J.: Optimal rates for independence testing via (U)-statistic permutation tests (2021)
- Deng, Yihao; Chaganty, N. R.: Pair-copula models for analyzing family data (2021)
- Farnoudkia, Hajar; Purutçuoğlu, Vilda: Vine copula graphical models in the construction of biological networks (2021)
- Fuchs, Sebastian; Di Lascio, F. Marta L.; Durante, Fabrizio: Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables (2021)
- Górecki, Jan; Hofert, Marius; Okhrin, Ostap: Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation (2021)
- Hallin, Marc; Mordant, Gilles; Segers, Johan: Multivariate goodness-of-fit tests based on Wasserstein distance (2021)
- Jaser, Miriam; Min, Aleksey: On tests for symmetry and radial symmetry of bivariate copulas towards testing for ellipticity (2021)
- Junker, Robert R.; Griessenberger, Florian; Trutschnig, Wolfgang: Estimating scale-invariant directed dependence of bivariate distributions (2021)
- Kasper, Thimo M.; Fuchs, Sebastian; Trutschnig, Wolfgang: On weak conditional convergence of bivariate Archimedean and extreme value copulas, and consequences to nonparametric estimation (2021)
- Kojadinovic, Ivan; Verdier, Ghislain: Nonparametric sequential change-point detection for multivariate time series based on empirical distribution functions (2021)
- 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)
- Nowak, Claus P.; Konietschke, Frank: Simultaneous inference for Kendall’s tau (2021)
- Song, Zhi; Mukherjee, Amitava; Zhang, Jiujun: Some robust approaches based on copula for monitoring bivariate processes and component-wise assessment (2021)
- Yuan, Zhenfei; Hu, Taizhong: pyvine: the Python package for regular vine copula modeling, sampling and testing (2021)
- Zhang, Shulin; Zhou, Qian M.; Lin, Huazhen: Goodness-of-fit test of copula functions for semi-parametric univariate time series models (2021)
- Akdur, Hatice Tul Kubra; Ozonur, Deniz; Bayrak, Hulya: An adaptation of pseudo-score confidence interval method for linear mixed models (2020)
- Dang, Phuc Ho; Vo Thi, Truc Giang: Gaussian copula of stable random vectors and application (2020)