2008-11-18 Ivan Kojadinovic * Jun has modified the structure of "fitCopula". Inversion of Spearman's rho and Kendall's tau can now be used to estimate the dependence parameters. The large-sample standard errors of the estimates can also be computed in almost all situations. * The argument list of function "fitCopula" has changed from the last version. A newly added "method" argument precedes the "start" argument, because "start" may not be needed for inverting Kendall's tau or Spearman's rho. The returned object of "fitCopula" also has component "est" renamed to "estimate" to be more informative. * The function "gofCopula" has been modified to reflect the changes in "fitCopula". The multiplier method has also been improved. * Warning messages from evaluating likelihood at invalid parameter values is suppressed when calling optim. It is not the optimal way, but let's experiment with it for a while. * Corresponding documentation improved. 2008-10-16 Roger Koenker * Added a logical variable to mvdc objects "marginsIdentical" intended to permit the use to force identical marginals. When this is specified as TRUE, then fitMvdc and loglikMvdc take a restricted vector of parameters and proceed accordingly. * Made a few minor alterations in the documentation to clarify points that I thought were unclear, notably the ordering of the parameter vector for mvdc fitting. 2008-09-17 Jun Yan * Fixed numerical rounding problem for rcopula method for bivariate Frank copula with alpha >= 35 using its symmetry, since it works for alpha <= -35. * Added "indepCopula" class. * Changed default method to "parametric.bootstrap" for gofCopula; the multiplier needs to be fixed for its considerable variation between replications. 2008-08-29 Jun Yan * Bug fixed in the random number generation for the Clayton copula. * empcop*.test functions renamed to *indepTest. * Documentation improved. 2008-07-17 Jun Yan * Ivan has implemented and tested multiplier CLT goodness-of-fit tests (bivariate and multivariate) for certain copulas. * Restructured R files under directory R. * Expressions for derivatives of cdf/pdf are now stored as opposed to computed on the fly. * Numerical approximation functions for tau and rho and its derivatives for special cases are now stored in sysdata.rda under directory R. 2008-01-22 Ivan Kojadinovic * The structure of the empcop*.test has been changed. All the statistics are computed using the same code. The only difference comes from the array J which changes according to whether * in {u,m,s,sm}. The computation is much faster. 2008-01-14 Jun Yan * Restructured empcopsm for better performance. Arrays W, K, and L are stored for reference in each permutation. The computation is about 3 times faster. * Fixed a bug in random permutation: (i + 1) * runif() instead of i * runif(). The bug is seen for the case n = 2, where no permutation would happen. * When compute p-values of Tippett, use obs <= sim as oppose to obs < sim because this statistic is discrete. 2008-01-02 Ivan Kojadinovic * The tests of independence based on the empirical copula have been renamed to empcopu.test (univariate) and empcopm.test (multivariate). * Some computations have been improved. * Serial analogs of these tests have been implemented. They are called empcops.test and empcopsm.test and can be used to test serial independence in univariate and multivariate continuous time series. 2007-12-11 Jun Yan * Fixed a bug in fitCopula (thanks to Rodrigo Dupleich for reporting). 2007-12-07 Ivan Kojadinovic * Added the function empcop.rv.test, a test of independence among continuous random vectors based on the empirical copula. * Improved empcop.test. * Fixed a bug in fgm.c. 2007-10-16 Jun Yan * Added \encoding{latin1} in empcop.test.Rd. * Fixed warnings and notes issued by R (2.6.0) CMD check. 2007-08-26 Jun Yan * Added try-error handler for loglikCopula and loglikMvdc. This will allow the optimizer to keep searching when NaN is returned. * Changed the way to generate function calls to evaluate [dpqr] for each margin, thank to Martin Maechler . The package can interact now with package nor1mix. 2007-06-06 Jun Yan * Fixed random number generator of amhCopula. The formula in Johnson (1988) has undefined quantities. 2007-06-02 Ivan Kojadinovic * Farlie-Gumbel-Morgenstern class implemented with distribution, density and random number generation. Class needs to be properly tested, especially random number generation. 2007-06-01 Jun Yan * Merged with package copulab by Ivan Kojadinovic , who provides the multivariate independence test of Genest and Rémillard (2004). 2007-05-18 Jun Yan * Association measures are exported into the namespace: kendallsTau, spearmansRho, and tailIndex. Calibration functions are implemented for Kendall's tau and Spearman's rho. * Extreme value copula class is implemented. This class includes Galambos, Husler-Reiss. * Added Archimedean copula Ali-Mikhail-Haq. * Added Plackett copula. 2007-04-28 Jun Yan * The three Archemedean copulas (clayton, frank, and gumbel) now have their density expressions imported from mathematica, after some symbolic simplification, which helps to eliminate some numerical precisions problems on the boundary of the unit square. Frank copula has the most complicated expressions. On 4GB memory machine it ran out of memory for dim = 10. So for frank copula, the maximum dimension implemented is dim = 6. The symbolic expressions are processed in R with function deriv to generate efficient algorithmic expressions.