Published by the Foundation for Open Access Statistics
Editors-in-chief: Bettina Grün, Torsten Hothorn, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
Modeling Multivariate Distributions with Continuous Margins Using the copula R Package | Kojadinovic | Journal of Statistical Software
Authors: Ivan Kojadinovic, Jun Yan
Title: Modeling Multivariate Distributions with Continuous Margins Using the copula R Package
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.

Page views:: 14537. Submitted: 2009-07-07. Published: 2010-05-14.
Paper: Modeling Multivariate Distributions with Continuous Margins Using the copula R Package     Download PDF (Downloads: 13887)
Supplements:
copula_0.9-5.tar.gz: R source package Download (Downloads: 1165; 542KB)
v34i09.R: R example code from the paper Download (Downloads: 1491; 4KB)
DOI: 10.18637/jss.v034.i09

by
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.