Package

r-copula

Description

Multivariate Dependence with Copulas. Classes (S4) of commonly used
elliptical, Archimedean, extreme-value and other copula families, as
well as their rotations, mixtures and asymmetrizations. Nested
Archimedean copulas, related tools and special functions. Methods for
density, distribution, random number generation, bivariate dependence
measures, Rosenblatt transform, Kendall distribution function,
perspective and contour plots. Fitting of copula models with potentially
partly fixed parameters, including standard errors. Serial independence
tests, copula specification tests (independence, exchangeability, radial
symmetry, extreme-value dependence, goodness-of-fit) and model selection
based on cross-validation. Empirical copula, smoothed versions, and non-
parametric estimators of the Pickands dependence function.

Note