Package: VineCopula 2.5.1
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:
VineCopula_2.5.1.tar.gz
VineCopula_2.5.1.zip(r-4.5)VineCopula_2.5.1.zip(r-4.4)VineCopula_2.5.1.zip(r-4.3)
VineCopula_2.5.1.tgz(r-4.4-x86_64)VineCopula_2.5.1.tgz(r-4.4-arm64)VineCopula_2.5.1.tgz(r-4.3-x86_64)VineCopula_2.5.1.tgz(r-4.3-arm64)
VineCopula_2.5.1.tar.gz(r-4.5-noble)VineCopula_2.5.1.tar.gz(r-4.4-noble)
VineCopula_2.5.1.tgz(r-4.4-emscripten)VineCopula_2.5.1.tgz(r-4.3-emscripten)
VineCopula.pdf |VineCopula.html✨
VineCopula/json (API)
NEWS
| # Install 'VineCopula' in R: |
| install.packages('VineCopula', repos = c('https://tnagler.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/tnagler/vinecopula/issues
Datasets:
- daxreturns - Major German Stocks
copulaestimationstatisticsvine
Last updated 30 days agofrom:6519f41500. Checks:OK: 9. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Aug 19 2024 |
| R-4.5-win-x86_64 | OK | Aug 19 2024 |
| R-4.5-linux-x86_64 | OK | Aug 19 2024 |
| R-4.4-win-x86_64 | OK | Aug 19 2024 |
| R-4.4-mac-x86_64 | OK | Aug 19 2024 |
| R-4.4-mac-aarch64 | OK | Aug 19 2024 |
| R-4.3-win-x86_64 | OK | Aug 19 2024 |
| R-4.3-mac-x86_64 | OK | Aug 19 2024 |
| R-4.3-mac-aarch64 | OK | Aug 19 2024 |
Exports:as.copuladataBB1CopulaBB6CopulaBB7CopulaBB8CopulaBetaMatrixBiCopBiCopCDFBiCopCheckBiCopChiPlotBiCopCompareBiCopCondSimBiCopDerivBiCopDeriv2BiCopEstBiCopEstListBiCopGofTestBiCopHfuncBiCopHfunc1BiCopHfunc2BiCopHfuncDerivBiCopHfuncDeriv2BiCopHinvBiCopHinv1BiCopHinv2BiCopIndTestBiCopKDEBiCopKPlotBiCopLambdaBiCopMetaContourBiCopNameBiCopPar2BetaBiCopPar2TailDepBiCopPar2TauBiCopPDFBiCopSelectBiCopSimBiCopTau2ParBiCopVuongClarkeC2RVinecopulaFromFamilyIndexD2RVineEmpCDFjoeBiCopulapairs.copuladatapobsr270BB1Copular270BB6Copular270BB7Copular270BB8Copular270ClaytonCopular270GumbelCopular270JoeBiCopular270TawnT1Copular270TawnT2Copular90BB1Copular90BB6Copular90BB7Copular90BB8Copular90ClaytonCopular90GumbelCopular90JoeBiCopular90TawnT1Copular90TawnT2CopulaRVineAICRVineBICRVineClarkeTestRVineCopSelectRVineCor2pcorRVineGofTestRVineGradRVineHessianRVineLogLikRVineMatrixRVineMatrixCheckRVineMatrixNormalizeRVineMatrixSampleRVineMLERVinePar2BetaRVinePar2TauRVinePcor2corRVinePDFRVinePITRVineSeqEstRVineSimRVineStdErrorRVineStructureSelectRVineTreePlotRVineVuongTestsurBB1CopulasurBB6CopulasurBB7CopulasurBB8CopulasurClaytonCopulasurGumbelCopulasurJoeBiCopulasurTawnT1CopulasurTawnT2CopulaTauMatrixtawnT1CopulatawnT2CopulavineCopula
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Statistical Inference of Vine Copulas | VineCopula-package VineCopula |
| Copula Data Objects | as.copuladata as.copuladata.data.frame as.copuladata.list as.copuladata.matrix |
| Matrix of Empirical Blomqvist's Beta Values | BetaMatrix |
| Constructing BiCop-objects | BiCop |
| Distribution Function of a Bivariate Copula | BiCopCDF |
| Check for family/parameter consistency in bivariate copula models | BiCopCheck |
| Chi-plot for Bivariate Copula Data | BiCopChiPlot |
| Shiny app for bivariate copula selection | BiCopCompare |
| Conditional simulation from a Bivariate Copula | BiCopCondSim |
| Derivatives of a Bivariate Copula Density | BiCopDeriv |
| Second Derivatives of a Bivariate Copula Density | BiCopDeriv2 |
| Parameter Estimation for Bivariate Copula Data | BiCopEst |
| List of Maximum Likelihood Estimates for Several Bivariate Copula Families | BiCopEstList |
| Goodness-of-Fit Test for Bivariate Copulas | BiCopGofTest |
| Conditional Distribution Function of a Bivariate Copula | BiCopHfunc BiCopHfunc1 BiCopHfunc2 |
| Derivatives of the h-Function of a Bivariate Copula | BiCopHfuncDeriv |
| Second Derivatives of the h-Function of a Bivariate Copula | BiCopHfuncDeriv2 |
| Inverse Conditional Distribution Function of a Bivariate Copula | BiCopHinv BiCopHinv1 BiCopHinv2 |
| Independence Test for Bivariate Copula Data | BiCopIndTest |
| Kernel estimate of a Bivariate Copula Density | BiCopKDE |
| Kendall's Plot for Bivariate Copula Data | BiCopKPlot |
| Lambda-Function (Plot) for Bivariate Copula Data | BiCopLambda |
| Contour Plot of Bivariate Meta Distribution | BiCopMetaContour |
| Bivariate Copula Family Names | BiCopName |
| Blomqvist's Beta Value of a Bivariate Copula | BiCopPar2Beta |
| Tail Dependence Coefficients of a Bivariate Copula | BiCopPar2TailDep |
| Kendall's Tau Value of a Bivariate Copula | BiCopPar2Tau |
| Density of a Bivariate Copula | BiCopPDF |
| Selection and Maximum Likelihood Estimation of Bivariate Copula Families | BiCopSelect |
| Simulation from a Bivariate Copula | BiCopSim |
| Parameter of a Bivariate Copula for a given Kendall's Tau Value | BiCopTau2Par |
| Scoring Goodness-of-Fit Test based on Vuong And Clarke Tests for Bivariate Copula Data | BiCopVuongClarke |
| Transform C-Vine to R-Vine Structure | C2RVine |
| Plotting 'RVineMatrix' objects. | contour.RVineMatrix plot.RVineMatrix |
| Transform D-Vine to R-Vine Structure | D2RVine |
| Major German Stocks | daxreturns |
| Corrected Empirical CDF | EmpCDF |
| Pairs Plot of Copula Data | pairs.copuladata |
| Plotting tools for BiCop objects | contour.BiCop plot.BiCop |
| Pseudo-Observations | pobs |
| AIC and BIC of an R-Vine Copula Model | RVineAIC RVineBIC |
| Clarke Test Comparing Two R-Vine Copula Models | RVineClarkeTest |
| Sequential Pair-Copula Selection and Estimation for R-Vine Copula Models | RVineCopSelect |
| (Partial) Correlations for R-Vine Copula Models | RVineCor2pcor RVinePcor2cor |
| Goodness-of-Fit Tests for R-Vine Copula Models | RVineGofTest |
| Gradient of the Log-Likelihood of an R-Vine Copula Model | RVineGrad |
| Hessian Matrix of the Log-Likelihood of an R-Vine Copula Model | RVineHessian |
| Log-Likelihood of an R-Vine Copula Model | RVineLogLik |
| R-Vine Copula Model in Matrix Notation | RVineMatrix |
| R-Vine Matrix Check | RVineMatrixCheck |
| Normalization of R-Vine Matrix | RVineMatrixNormalize |
| Random sampling of R-Vine matrices | RVineMatrixSample |
| Maximum Likelihood Estimation of an R-Vine Copula Model | RVineMLE |
| Blomqvist's Beta Values of an R-Vine Copula Model | RVinePar2Beta |
| Kendall's Tau Values of an R-Vine Copula Model | RVinePar2Tau |
| PDF of an R-Vine Copula Model | RVinePDF |
| Probability Integral Transformation for R-Vine Copula Models | RVinePIT |
| Sequential Estimation of an R-Vine Copula Model | RVineSeqEst |
| Simulation from an R-Vine Copula Model | RVineSim |
| Standard Errors of an R-Vine Copula Model | RVineStdError |
| Sequential Specification of R- and C-Vine Copula Models | RVineStructureSelect |
| Visualization of R-Vine Tree Structure | RVineTreePlot |
| Vuong Test Comparing Two R-Vine Copula Models | RVineVuongTest |
| Matrix of Empirical Kendall's Tau Values | TauMatrix |
| Deprecated | B8Copula-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 |
