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

Authors: Ivan Kojadinovic, Jun Yan
Title: [download]
(10768)
Modeling Multivariate Distributions with Continuous Margins Using the copula R Package
Reference: Vol. 34, Issue 9, May 2010
Submitted 2009-07-07, Accepted 2010-04-23
Type: Article
Abstract:

The copula-based modeling of multivariate distributions with continuous margins is presented as a succession of rank-based tests: a multivariate test of randomness followed by a test of mutual independence and a series of goodness-of-fit tests. All the tests under consideration are based on the empirical copula, which is a nonparametric rank-based estimator of the true unknown copula. The principles of the tests are recalled and their implementation in the copula R package is briefly described. Their use in the construction of a copula model from data is thoroughly illustrated on real insurance and financial data.

Paper: [download]
(10768)
Modeling Multivariate Distributions with Continuous Margins Using the copula R Package
(application/pdf, 707.5 KB)
Supplements: [download]
(895)
copula_0.9-5.tar.gz: R source package
(application/x-gzip, 542.9 KB)
[download]
(1095)
v34i09.R: R example code from the paper
(application/octet-stream, 4.6 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