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Vine copulas are a flexible class of dependence models consisting of bivariate building blocks (see e.g., Aas et al., 2009). This package is primarily made for the statistical analysis of vine copula models. 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.
● Data Source:
CranContrib
● Keywords:
● Alias: VineCopula, VineCopula-package
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BiCopIndTest
(Package: VineCopula) :
Independence Test for Bivariate Copula Data
This function returns the p-value of a bivariate asymptotic independence test based on Kendall's τ.
● Data Source:
CranContrib
● Keywords:
● Alias: BiCopIndTest
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These are wrappers to functions from VineCopula-package
● Data Source:
CranContrib
● Keywords: copula
● Alias: r270GumbelCopula, r90GumbelCopula, surGumbelCopula
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TauMatrix
(Package: VineCopula) :
Matrix of Empirical Kendall's Tau Values
This function computes the empirical Kendall's tau using the algorithm by Knight (1966).
● Data Source:
CranContrib
● Keywords:
● Alias: TauMatrix
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RVineClarkeTest
(Package: VineCopula) :
Clarke Test Comparing Two R-Vine Copula Models
This function performs a Clarke test between two d-dimensional R-vine copula models as specified by their RVineMatrix objects.
● Data Source:
CranContrib
● Keywords:
● Alias: RVineClarkeTest
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D2RVine
(Package: VineCopula) :
Transform D-Vine to R-Vine Structure
This function transforms a D-vine structure from the package CDVine to the corresponding R-vine structure.
● Data Source:
CranContrib
● Keywords:
● Alias: D2RVine
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BB7Copula
(Package: VineCopula) :
Constructor of the BB7 Family and Rotated Versions thereof
Constructs an object of the BB7Copula (survival sur, 90 degree rotated r90 and 270 degree rotated r270) family for given parameters.
● Data Source:
CranContrib
● Keywords:
● Alias: BB7Copula, r270BB7Copula, r90BB7Copula, surBB7Copula
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These are wrappers to functions from VineCopula-package
● Data Source:
CranContrib
● Keywords: copula
● Alias: r270ClaytonCopula, r90ClaytonCopula, surClaytonCopula
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BiCopDeriv2
(Package: VineCopula) :
Second Derivatives of a Bivariate Copula Density
This function evaluates the second derivative of a given parametric bivariate copula density with respect to its parameter(s) and/or its arguments.
● Data Source:
CranContrib
● Keywords:
● Alias: BiCopDeriv2
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BiCopPar2Beta
(Package: VineCopula) :
Blomqvist's Beta Value of a Bivariate Copula
This function computes the theoretical Blomqvist's beta value of a bivariate copula for given parameter values.
● Data Source:
CranContrib
● Keywords:
● Alias: BiCopPar2Beta
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