Published by the Foundation for Open Access Statistics Editors-in-chief: Bettina Grün, Torsten Hothorn, Rebecca Killick, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
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Authors: Jun Yan
Title: Enjoy the Joy of Copulas: With a Package copula
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.

Page views:: 48229. Submitted: 2006-12-02. Published: 2007-10-08.
Paper: Enjoy the Joy of Copulas: With a Package copula     Download PDF (Downloads: 71827)
copula_0.5-7.tar.gz: R source package Download (Downloads: 2223; 582KB) v21i04.R: R example code from the paper Download (Downloads: 2410; 1KB)

DOI: 10.18637/jss.v021.i04

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) or a GPL-compatible license.