| Authors: | Jun Yan |
| Title: | [download] (24413)Enjoy the Joy of Copulas: With a Package copula |
| Reference: | Vol. 21, Issue 4, Oct 2007 Submitted 2006-12-02, Accepted 2007-09-11 |
| Type: | Article |
| Abstract: | Copulas have become a popular tool in multivariate modeling successfully applied in many fields. A good open-source implementation of copulas is much needed for more practitioners to enjoy the joy of copulas. This article presents the design, features, and some implementation details of the R package copula. The package provides a carefully designed and easily extensible platform for multivariate modeling with copulas in R. S4 classes for most frequently used elliptical copulas and Archimedean copulas are implemented, with methods for density/distribution evaluation, random number generation, and graphical display. Fitting copula-based models with maximum likelihood method is provided as template examples. With the classes and methods in the package, the package can be easily extended by user-defined copulas and margins to solve problems. |
| Paper: | [download] (24413)Enjoy the Joy of Copulas: With a Package copula (application/pdf, 507.8 KB) |
| Supplements: | [download] (1398)copula_0.5-7.tar.gz: R source package (application/x-gzip, 582.1 KB) |
| [download] (1437)v21i04.R: R example code from the paper (application/zip, 1.6 KB) |
|
| Resources: | BibTeX | OAI |
