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 147 articles , 1 standard article )

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  1. Verdier, Ghislain: Application of copulas to multivariate control charts (2013)
  2. Wu, Xing Zheng: Probabilistic slope stability analysis by a copula-based sampling method (2013)
  3. Bouzebda, Salim; Cherfi, Mohamed: Test of symmetry based on copula function (2012)
  4. Brahimi, Brahim; Necir, Abdelhakim: A semiparametric estimation of copula models based on the method of moments (2012)
  5. Hofert, Marius; Mächler, Martin; McNeil, Alexander J.: Likelihood inference for Archimedean copulas in high dimensions under known margins (2012)
  6. Jin, Huan; Zhao, Naiqing; Tu, Dongsheng: Nonparametric confidence intervals for the ratio of marginal hazard rates of paired survival times (2012)
  7. Rémillard, Bruno; Papageorgiou, Nicolas; Soustra, Frédéric: Copula-based semiparametric models for multivariate time series (2012)
  8. Schomaker, Michael: Shrinkage averaging estimation (2012)
  9. Segers, Johan: Nonparametric inference for max-stable dependence (2012)
  10. Bee, Marco: Adaptive importance sampling for simulating copula-based distributions (2011)
  11. Benatia, Fateh; Brahimi, Brahim; Necir, Abdelhakim: A semiparametric estimation procedure for multi-parameter Archimedean copulas based on the L-moments method (2011)
  12. Denecke, Liesa; Müller, Christine H.: Robust estimators and tests for bivariate copulas based on likelihood depth (2011)
  13. Ebrahimi, Nader: Assessing the reliability function of nanocomponents (2011)
  14. Genest, Christian; Kojadinovic, Ivan; Nešlehová, Johanna; Yan, Jun: A goodness-of-fit test for bivariate extreme-value copulas (2011)
  15. Kim, Jong-Min; Jung, Yoon-Sung; Choi, Taeryon; Sungur, Engin A.: Partial correlation with copula modeling (2011)
  16. Kojadinovic, Ivan; Yan, Jun: A goodness-of-fit test for multivariate multiparameter copulas based on multiplier central limit theorems (2011)
  17. Kojadinovic, Ivan; Yan, Jun: Tests of serial independence for continuous multivariate time series based on a Möbius decomposition of the independence empirical copula process (2011)
  18. Kojadinovic, Ivan; Yan, Jun; Holmes, Mark: Fast large-sample goodness-of-fit tests for copulas (2011)
  19. Gijbels, Irène; Omelka, Marek; Sznajder, Dominik: Positive quadrant dependence tests for copulas (2010)
  20. Kojadinovic, Ivan; Yan, Jun: Nonparametric rank-based tests of bivariate extreme-value dependence (2010)

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