Package: VineCopula 2.5.2

VineCopula: Statistical Inference of Vine Copulas

Provides tools for the statistical analysis of regular vine copula models, see Aas et al. (2009) <doi:10.1016/j.insmatheco.2007.02.001> and Dissman et al. (2013) <doi:10.1016/j.csda.2012.08.010>. The package includes tools for parameter estimation, model selection, simulation, goodness-of-fit tests, and visualization. Tools for estimation, selection and exploratory data analysis of bivariate copula models are also provided.

Authors:Thomas Nagler [aut, cre], Ulf Schepsmeier [aut], Jakob Stoeber [aut], Eike Christian Brechmann [aut], Benedikt Graeler [aut], Tobias Erhardt [aut], Carlos Almeida [ctb], Aleksey Min [ctb, ths], Claudia Czado [ctb, ths], Mathias Hofmann [ctb], Matthias Killiches [ctb], Harry Joe [ctb], Thibault Vatter [ctb]

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VineCopula/json (API)
NEWS

# Install 'VineCopula' in R:
install.packages('VineCopula', repos = c('https://tnagler.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/tnagler/vinecopula/issues

Datasets:

On CRAN:

copulaestimationstatisticsvine

10.65 score 87 stars 23 packages 362 scripts 3.3k downloads 7 mentions 103 exports 4 dependencies

Last updated 9 days agofrom:5f101f722a. Checks:OK: 9. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 12 2024
R-4.5-win-x86_64OKNov 12 2024
R-4.5-linux-x86_64OKNov 12 2024
R-4.4-win-x86_64OKNov 12 2024
R-4.4-mac-x86_64OKNov 12 2024
R-4.4-mac-aarch64OKNov 12 2024
R-4.3-win-x86_64OKNov 12 2024
R-4.3-mac-x86_64OKNov 12 2024
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Exports:as.copuladataBB1CopulaBB6CopulaBB7CopulaBB8CopulaBetaMatrixBiCopBiCopCDFBiCopCheckBiCopChiPlotBiCopCompareBiCopCondSimBiCopDerivBiCopDeriv2BiCopEstBiCopEstListBiCopGofTestBiCopHfuncBiCopHfunc1BiCopHfunc2BiCopHfuncDerivBiCopHfuncDeriv2BiCopHinvBiCopHinv1BiCopHinv2BiCopIndTestBiCopKDEBiCopKPlotBiCopLambdaBiCopMetaContourBiCopNameBiCopPar2BetaBiCopPar2TailDepBiCopPar2TauBiCopPDFBiCopSelectBiCopSimBiCopTau2ParBiCopVuongClarkeC2RVinecopulaFromFamilyIndexD2RVineEmpCDFjoeBiCopulapairs.copuladatapobsr270BB1Copular270BB6Copular270BB7Copular270BB8Copular270ClaytonCopular270GumbelCopular270JoeBiCopular270TawnT1Copular270TawnT2Copular90BB1Copular90BB6Copular90BB7Copular90BB8Copular90ClaytonCopular90GumbelCopular90JoeBiCopular90TawnT1Copular90TawnT2CopulaRVineAICRVineBICRVineCDFRVineClarkeTestRVineCopSelectRVineCor2pcorRVineGofTestRVineGradRVineHessianRVineLogLikRVineMatrixRVineMatrixCheckRVineMatrixNormalizeRVineMatrixSampleRVineMLERVinePar2BetaRVinePar2TauRVinePcor2corRVinePDFRVinePITRVineSeqEstRVineSimRVineStdErrorRVineStructureSelectRVineTreePlotRVineVuongTestsurBB1CopulasurBB6CopulasurBB7CopulasurBB8CopulasurClaytonCopulasurGumbelCopulasurJoeBiCopulasurTawnT1CopulasurTawnT2CopulaTauMatrixtawnT1CopulatawnT2CopulavineCopula

Dependencies:ADGofTestlatticeMASSmvtnorm

Readme and manuals

Help Manual

Help pageTopics
Statistical Inference of Vine CopulasVineCopula-package VineCopula
Copula Data Objectsas.copuladata as.copuladata.data.frame as.copuladata.list as.copuladata.matrix
Matrix of Empirical Blomqvist's Beta ValuesBetaMatrix
Constructing BiCop-objectsBiCop
Distribution Function of a Bivariate CopulaBiCopCDF
Check for family/parameter consistency in bivariate copula modelsBiCopCheck
Chi-plot for Bivariate Copula DataBiCopChiPlot
Shiny app for bivariate copula selectionBiCopCompare
Conditional simulation from a Bivariate CopulaBiCopCondSim
Derivatives of a Bivariate Copula DensityBiCopDeriv
Second Derivatives of a Bivariate Copula DensityBiCopDeriv2
Parameter Estimation for Bivariate Copula DataBiCopEst
List of Maximum Likelihood Estimates for Several Bivariate Copula FamiliesBiCopEstList
Goodness-of-Fit Test for Bivariate CopulasBiCopGofTest
Conditional Distribution Function of a Bivariate CopulaBiCopHfunc BiCopHfunc1 BiCopHfunc2
Derivatives of the h-Function of a Bivariate CopulaBiCopHfuncDeriv
Second Derivatives of the h-Function of a Bivariate CopulaBiCopHfuncDeriv2
Inverse Conditional Distribution Function of a Bivariate CopulaBiCopHinv BiCopHinv1 BiCopHinv2
Independence Test for Bivariate Copula DataBiCopIndTest
Kernel estimate of a Bivariate Copula DensityBiCopKDE
Kendall's Plot for Bivariate Copula DataBiCopKPlot
Lambda-Function (Plot) for Bivariate Copula DataBiCopLambda
Contour Plot of Bivariate Meta DistributionBiCopMetaContour
Bivariate Copula Family NamesBiCopName
Blomqvist's Beta Value of a Bivariate CopulaBiCopPar2Beta
Tail Dependence Coefficients of a Bivariate CopulaBiCopPar2TailDep
Kendall's Tau Value of a Bivariate CopulaBiCopPar2Tau
Density of a Bivariate CopulaBiCopPDF
Selection and Maximum Likelihood Estimation of Bivariate Copula FamiliesBiCopSelect
Simulation from a Bivariate CopulaBiCopSim
Parameter of a Bivariate Copula for a given Kendall's Tau ValueBiCopTau2Par
Scoring Goodness-of-Fit Test based on Vuong And Clarke Tests for Bivariate Copula DataBiCopVuongClarke
Transform C-Vine to R-Vine StructureC2RVine
Plotting 'RVineMatrix' objects.contour.RVineMatrix plot.RVineMatrix
Transform D-Vine to R-Vine StructureD2RVine
Major German Stocksdaxreturns
Corrected Empirical CDFEmpCDF
Pairs Plot of Copula Datapairs.copuladata
Plotting tools for BiCop objectscontour.BiCop plot.BiCop
Pseudo-Observationspobs
AIC and BIC of an R-Vine Copula ModelRVineAIC RVineBIC
CDF of an R-Vine Copula ModelRVineCDF
Clarke Test Comparing Two R-Vine Copula ModelsRVineClarkeTest
Sequential Pair-Copula Selection and Estimation for R-Vine Copula ModelsRVineCopSelect
(Partial) Correlations for R-Vine Copula ModelsRVineCor2pcor RVinePcor2cor
Goodness-of-Fit Tests for R-Vine Copula ModelsRVineGofTest
Gradient of the Log-Likelihood of an R-Vine Copula ModelRVineGrad
Hessian Matrix of the Log-Likelihood of an R-Vine Copula ModelRVineHessian
Log-Likelihood of an R-Vine Copula ModelRVineLogLik
R-Vine Copula Model in Matrix NotationRVineMatrix
R-Vine Matrix CheckRVineMatrixCheck
Normalization of R-Vine MatrixRVineMatrixNormalize
Random sampling of R-Vine matricesRVineMatrixSample
Maximum Likelihood Estimation of an R-Vine Copula ModelRVineMLE
Blomqvist's Beta Values of an R-Vine Copula ModelRVinePar2Beta
Kendall's Tau Values of an R-Vine Copula ModelRVinePar2Tau
PDF of an R-Vine Copula ModelRVinePDF
Probability Integral Transformation for R-Vine Copula ModelsRVinePIT
Sequential Estimation of an R-Vine Copula ModelRVineSeqEst
Simulation from an R-Vine Copula ModelRVineSim
Standard Errors of an R-Vine Copula ModelRVineStdError
Sequential Specification of R- and C-Vine Copula ModelsRVineStructureSelect
Visualization of R-Vine Tree StructureRVineTreePlot
Vuong Test Comparing Two R-Vine Copula ModelsRVineVuongTest
Matrix of Empirical Kendall's Tau ValuesTauMatrix
DeprecatedB8Copula-class BB1Copula BB1Copula-class BB6Copula BB6Copula-class BB7Copula BB7Copula-class BB8Copula BB8Copula-class BBB8Copula copulaFromFamilyIndex dduCopula,matrix,BB1Copula-method dduCopula,matrix,BB6Copula-method dduCopula,matrix,BB7Copula-method dduCopula,matrix,BB8Copula-method dduCopula,matrix,joeBiCopula-method dduCopula,matrix,r270BB1Copula-method dduCopula,matrix,r270BB6Copula-method dduCopula,matrix,r270BB7Copula-method dduCopula,matrix,r270BB8Copula-method dduCopula,matrix,r270ClaytonCopula-method dduCopula,matrix,r270GumbelCopula-method dduCopula,matrix,r270JoeBiCopula-method dduCopula,matrix,r270TawnT1Copula-method dduCopula,matrix,r270TawnT2Copula-method dduCopula,matrix,r90BB1Copula-method dduCopula,matrix,r90BB6Copula-method dduCopula,matrix,r90BB7Copula-method dduCopula,matrix,r90BB8Copula-method dduCopula,matrix,r90ClaytonCopula-method dduCopula,matrix,r90GumbelCopula-method dduCopula,matrix,r90JoeBiCopula-method dduCopula,matrix,r90TawnT1Copula-method dduCopula,matrix,r90TawnT2Copula-method dduCopula,matrix,surBB1Copula-method dduCopula,matrix,surBB6Copula-method dduCopula,matrix,surBB7Copula-method dduCopula,matrix,surBB8Copula-method dduCopula,matrix,surClaytonCopula-method dduCopula,matrix,surGumbelCopula-method dduCopula,matrix,surJoeBiCopula-method dduCopula,matrix,surTawnT1Copula-method dduCopula,matrix,surTawnT2Copula-method dduCopula,matrix,tawnT1Copula-method dduCopula,matrix,tawnT2Copula-method dduCopula,numeric,BB1Copula-method dduCopula,numeric,BB6Copula-method dduCopula,numeric,BB7Copula-method dduCopula,numeric,BB8Copula-method dduCopula,numeric,joeBiCopula-method dduCopula,numeric,r270BB1Copula-method dduCopula,numeric,r270BB6Copula-method dduCopula,numeric,r270BB7Copula-method dduCopula,numeric,r270BB8Copula-method dduCopula,numeric,r270ClaytonCopula-method dduCopula,numeric,r270GumbelCopula-method dduCopula,numeric,r270JoeBiCopula-method dduCopula,numeric,r270TawnT1Copula-method dduCopula,numeric,r270TawnT2Copula-method dduCopula,numeric,r90BB1Copula-method dduCopula,numeric,r90BB6Copula-method dduCopula,numeric,r90BB7Copula-method dduCopula,numeric,r90BB8Copula-method dduCopula,numeric,r90ClaytonCopula-method dduCopula,numeric,r90GumbelCopula-method dduCopula,numeric,r90JoeBiCopula-method dduCopula,numeric,r90TawnT1Copula-method dduCopula,numeric,r90TawnT2Copula-method dduCopula,numeric,surBB1Copula-method dduCopula,numeric,surBB6Copula-method dduCopula,numeric,surBB7Copula-method dduCopula,numeric,surBB8Copula-method dduCopula,numeric,surClaytonCopula-method dduCopula,numeric,surGumbelCopula-method dduCopula,numeric,surJoeBiCopula-method dduCopula,numeric,surTawnT1Copula-method dduCopula,numeric,surTawnT2Copula-method dduCopula,numeric,tawnT1Copula-method dduCopula,numeric,tawnT2Copula-method ddvCopula,matrix,BB1Copula-method ddvCopula,matrix,BB6Copula-method ddvCopula,matrix,BB7Copula-method ddvCopula,matrix,BB8Copula-method ddvCopula,matrix,joeBiCopula-method ddvCopula,matrix,r270BB1Copula-method ddvCopula,matrix,r270BB6Copula-method ddvCopula,matrix,r270BB7Copula-method ddvCopula,matrix,r270BB8Copula-method ddvCopula,matrix,r270ClaytonCopula-method ddvCopula,matrix,r270GumbelCopula-method ddvCopula,matrix,r270JoeBiCopula-method ddvCopula,matrix,r270TawnT1Copula-method ddvCopula,matrix,r270TawnT2Copula-method ddvCopula,matrix,r90BB1Copula-method ddvCopula,matrix,r90BB6Copula-method ddvCopula,matrix,r90BB7Copula-method ddvCopula,matrix,r90BB8Copula-method ddvCopula,matrix,r90ClaytonCopula-method ddvCopula,matrix,r90GumbelCopula-method ddvCopula,matrix,r90JoeBiCopula-method ddvCopula,matrix,r90TawnT1Copula-method ddvCopula,matrix,r90TawnT2Copula-method ddvCopula,matrix,surBB1Copula-method ddvCopula,matrix,surBB6Copula-method ddvCopula,matrix,surBB7Copula-method ddvCopula,matrix,surBB8Copula-method ddvCopula,matrix,surClaytonCopula-method ddvCopula,matrix,surGumbelCopula-method ddvCopula,matrix,surJoeBiCopula-method ddvCopula,matrix,surTawnT1Copula-method ddvCopula,matrix,surTawnT2Copula-method ddvCopula,matrix,tawnT1Copula-method ddvCopula,matrix,tawnT2Copula-method ddvCopula,numeric,BB1Copula-method ddvCopula,numeric,BB6Copula-method ddvCopula,numeric,BB7Copula-method ddvCopula,numeric,BB8Copula-method ddvCopula,numeric,joeBiCopula-method ddvCopula,numeric,r270BB1Copula-method ddvCopula,numeric,r270BB6Copula-method ddvCopula,numeric,r270BB7Copula-method ddvCopula,numeric,r270BB8Copula-method ddvCopula,numeric,r270ClaytonCopula-method ddvCopula,numeric,r270GumbelCopula-method ddvCopula,numeric,r270JoeBiCopula-method ddvCopula,numeric,r270TawnT1Copula-method ddvCopula,numeric,r270TawnT2Copula-method ddvCopula,numeric,r90BB1Copula-method ddvCopula,numeric,r90BB6Copula-method ddvCopula,numeric,r90BB7Copula-method ddvCopula,numeric,r90BB8Copula-method ddvCopula,numeric,r90ClaytonCopula-method ddvCopula,numeric,r90GumbelCopula-method ddvCopula,numeric,r90JoeBiCopula-method ddvCopula,numeric,r90TawnT1Copula-method ddvCopula,numeric,r90TawnT2Copula-method ddvCopula,numeric,surBB1Copula-method ddvCopula,numeric,surBB6Copula-method ddvCopula,numeric,surBB7Copula-method ddvCopula,numeric,surBB8Copula-method ddvCopula,numeric,surClaytonCopula-method ddvCopula,numeric,surGumbelCopula-method ddvCopula,numeric,surJoeBiCopula-method ddvCopula,numeric,surTawnT1Copula-method ddvCopula,numeric,surTawnT2Copula-method ddvCopula,numeric,tawnT1Copula-method ddvCopula,numeric,tawnT2Copula-method fitCopula getKendallDistr,BB1Copula-method getKendallDistr,BB6Copula-method getKendallDistr,BB7Copula-method getKendallDistr,BB8Copula-method getKendallDistr,joeBiCopula-method joeBiCopula joeBiCopula-class kendallDistribution,BB1Copula-method kendallDistribution,BB6Copula-method kendallDistribution,BB7Copula-method kendallDistribution,BB8Copula-method kendallDistribution,joeBiCopula-method r270BB1Copula r270BB1Copula-class r270BB6Copula r270BB6Copula-class r270BB7Copula r270BB7Copula-class r270BB8Copula r270BB8Copula-class r270ClaytonCopula r270ClaytonCopula-class r270GumbelCopula r270GumbelCopula-class r270JoeBiCopula r270JoeBiCopula-class r270TawnT1Copula r270TawnT1Copula-class r270TawnT2Copula r270TawnT2Copula-class r90BB1Copula r90BB1Copula-class r90BB6Copula r90BB6Copula-class r90BB7Copula r90BB7Copula-class r90BB8Copula r90BB8Copula-class r90ClaytonCopula r90ClaytonCopula-class r90GumbelCopula r90GumbelCopula-class r90JoeBiCopula r90JoeBiCopula-class r90TawnT1Copula r90TawnT1Copula-class r90TawnT2Copula r90TawnT2Copula-class surBB1Copula surBB1Copula-class surBB6Copula surBB6Copula-class surBB7Copula surBB7Copula-class surBB8Copula surBB8Copula-class surClaytonCopula surClaytonCopula-class surGumbelCopula surGumbelCopula-class surJoeBiCopula surJoeBiCopula-class surTawnT1Copula surTawnT1Copula-class surTawnT2Copula surTawnT2Copula-class tawnT1Copula tawnT1Copula-class tawnT2Copula tawnT2Copula-class VC2copula-deprecated vineCopula vineCopula-class vineCopula-method