copula: Multivariate Dependence with Copulas

Classes (S4) of commonly used elliptical, Archimedean, extreme value and some more copula families. Methods for density, distribution, random number generation, bivariate dependence measures, perspective and contour plots. Fitting copula models including variance estimates. Independence and serial (univariate and multivariate) independence tests, and other copula related tests. Empirical copula and multivariate CDF. Goodness-of-fit tests for copulas based on multipliers, the parametric bootstrap with several transformation options. Merged former package 'nacopula' for nested Archimedean copulas: Efficient sampling algorithms, various estimators, goodness-of-fit tests and related tools and special functions.

Version: 0.999-14
Depends: R (≥ 3.0.1)
Imports: stats, graphics, methods, stats4, Matrix, lattice, colorspace, gsl, ADGofTest, stabledist (≥ 0.6-4), mvtnorm, pspline
Suggests: MASS, KernSmooth, sfsmisc, scatterplot3d, Rmpfr, bbmle, knitr, parallel, mvnormtest, partitions, polynom, randtoolbox, rugarch, Runuran, tseries, VGAM, VineCopula, zoo
Enhances: nor1mix
Published: 2015-10-26
Author: Marius Hofert, Ivan Kojadinovic, Martin Maechler, and Jun Yan
Maintainer: Martin Maechler <maechler at>
License: GPL (≥ 3) | file LICENCE
NeedsCompilation: yes
Citation: copula citation info
Materials: NEWS ChangeLog
In views: Distributions, Finance, Multivariate
CRAN checks: copula results


Reference manual: copula.pdf
Vignettes: Archimedean Liouville Copulas
MLE and Quantile Evaluation for a Clayton AR(1) Model with Student Marginals
Generalized Inverse Gaussian Archimedean Copulas
Nested Archimedean L&eacute;vy Copulas
The Copula GARCH Model
Densities of Two-Level Nested Archimedean Copulas
Log-Likelihood Visualization for Archimedean Copulas
Quasi-Random Numbers for Copula Models
Copula Constructions for Tail-Dependence Matrices
Wild Animals: Examples of Nonstandard Copulas
Package source: copula_0.999-14.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X Snow Leopard binaries: r-release: copula_0.999-13.tgz, r-oldrel: copula_0.999-13.tgz
OS X Mavericks binaries: r-release: copula_0.999-14.tgz
Old sources: copula archive

Reverse dependencies:

Reverse depends: BivarP, CoClust, CoImp, gofCopula, HAC, HiDimMaxStable, lcopula, RGENERATEPREC, RMRAINGEN, SemiParSampleSel, vines
Reverse imports: apt, cds, copulaedas, PortRisk, VineCopula
Reverse suggests: aftgee, docopulae, mbbefd, npcp, qrmtools, simsalapar, simsem