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 139 articles , 1 standard article )

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  3. Gijbels, Irène; Omelka, Marek; Veraverbeke, Noël: Partial and average copulas and association measures (2015)
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  5. Hlubinka, Daniel; Šiman, Miroslav: On generalized elliptical quantiles in the nonlinear quantile regression setup (2015)
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  9. Bücher, Axel; Kojadinovic, Ivan; Rohmer, Tom; Segers, Johan: Detecting changes in cross-sectional dependence in multivariate time series (2014)
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  15. Kauermann, Göran; Meyer, Renate: Penalized marginal likelihood estimation of finite mixtures of Archimedean copulas (2014)
  16. Kim, Daeyoung; Kim, Jong-Min: Analysis of directional dependence using asymmetric copula-based regression models (2014)
  17. Marozzi, Marco: Testing for concordance between several criteria (2014)
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