Classes (S4) of commonly used copulas including elliptical, Archimidean, extreme value and Farlie-Gumbel-Morgenstern families. Methods for density, distribution, random number generators, bivariate association measures, persp, and contour. Functions for fitting copula models. Independence tests among random variables and random vectors based on the empirical copula process. Serial independence tests for univariate and multivariate continuous time series based on the empirical copula process.
| Version: | 0.6-6 |
| Depends: | methods, mvtnorm, scatterplot3d, sn, adapt |
| Enhances: | nor1mix |
| Date: | 2008/01/22 |
| Author: | Jun Yan and Ivan Kojadinovic. |
| Maintainer: | Jun Yan <jyan at stat.uconn.edu> |
| License: | GPL (≥ 3) |
| In views: | Finance, Multivariate |
| CRAN checks: | copula results |
Downloads:
| Package source: | copula_0.6-6.tar.gz |
| MacOS X binary: | copula_0.6-6.tgz |
| Windows binary: | copula_0.6-6.zip |
| Reference manual: | copula.pdf |
| News/ChangeLog: | ChangeLog |
| Old sources: | copula archive |