Current Volume | Browse | Search | RSSHome | Instructions for Authors | JSS Style Guide | Editorial Board

Authors: Jun Yan
Title: [download]
(32432)
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]
(32432)
Enjoy the Joy of Copulas: With a Package copula
(application/pdf, 507.8 KB)
Supplements: [download]
(1658)
copula_0.5-7.tar.gz: R source package
(application/x-gzip, 582.1 KB)
[download]
(1709)
v21i04.R: R example code from the paper
(application/zip, 1.6 KB)
Resources: BibTeX | OAI
Creative Commons License
This work is licensed under the licenses
Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3)
Current Volume | Browse | Search | RSSHome | Instructions for Authors | JSS Style Guide | Editorial Board