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 145 articles , 1 standard article )

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  1. Kauermann, Göran; Meyer, Renate: Penalized marginal likelihood estimation of finite mixtures of Archimedean copulas (2014)
  2. Kim, Daeyoung; Kim, Jong-Min: Analysis of directional dependence using asymmetric copula-based regression models (2014)
  3. Marozzi, Marco: Testing for concordance between several criteria (2014)
  4. Nooraee, Nazanin; Molenberghs, Geert; van den Heuvel, Edwin R.: GEE for longitudinal ordinal data: comparing R-geepack, R-multgee, R-repolr, SAS-GENMOD, SPSS-GENLIN (2014)
  5. Salinas-Gutiérrez, Rogelio; Hernández-Aguirre, Arturo; Villa-Diharce, Enrique R.: Copula selection for graphical models in continuous estimation of distribution algorithms (2014)
  6. Schomaker, Michael; Heumann, Christian: Model selection and model averaging after multiple imputation (2014)
  7. Venezuela, Maria Kelly; Artes, Rinaldo: Estimating equations and diagnostic techniques applied to zero-inflated models for panel data (2014)
  8. Bellini, Tiziano: Integrated bank risk modeling: a bottom-up statistical framework (2013)
  9. Czado, Claudia; Brechmann, Eike Christian; Gruber, Lutz: Selection of vine copulas (2013)
  10. Di Bernardino, Elena; Rullière, Didier: On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators (2013)
  11. Fang, Y.; Madsen, L.: Modified Gaussian pseudo-copula: applications in insurance and finance (2013)
  12. Gijbels, Irène; Sznajder, Dominik: Positive quadrant dependence testing and constrained copula estimation (2013)
  13. Gilleland, Eric; Ribatet, Mathieu; Stephenson, Alec G.: A software review for extreme value analysis (2013)
  14. González-Barrios, José M.; Hernández-Cedillo, María M.: Sample (d)-copula of order (m) (2013)
  15. Hofert, Marius; Mächler, Martin; McNeil, Alexander J.: Archimedean copulas in high dimensions: estimators and numerical challenges motivated by financial applications (2013)
  16. Kauermann, Göran; Schellhase, Christian; Ruppert, David: Flexible copula density estimation with penalized hierarchical B-splines (2013)
  17. Letmathe, Peter; Petersen, Lars; Schweitzer, Marcus: Capacity management under uncertainty with inter-process, intra-process and demand interdependencies in high-flexibility environments (2013)
  18. Tang, Qihe; Yuan, Zhongyi: Asymptotic analysis of the loss given default in the presence of multivariate regular variation (2013)
  19. Verdier, Ghislain: Application of copulas to multivariate control charts (2013)
  20. Wu, Xing Zheng: Probabilistic slope stability analysis by a copula-based sampling method (2013)