Statistical Inference of Vine Copulas

Documentation for package ‘VineCopula’ version 2.0.4

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A B C D F G J K P R S T V

VineCopula-package

Statistical Inference of Vine Copulas

-- A --

as.copuladata	Copula Data Objects
as.copuladata.data.frame	Copula Data Objects
as.copuladata.list	Copula Data Objects
as.copuladata.matrix	Copula Data Objects

-- B --

BB1Copula	Constructor of the BB1 Family and Rotated Versions thereof
BB1Copula-class	Classes '"BB1Copula"', '"surBB1Copula"', '"r90BB1Copula"' and '"r270BB1Copula"'
BB6Copula	Constructor of the BB6 Family and Rotated Versions thereof
BB6Copula-class	Classes '"BB6Copula"', '"surBB6Copula"', '"r90BB6Copula"' and '"r270BB6Copula"'
BB7Copula	Constructor of the BB7 Family and Rotated Versions thereof
BB7Copula-class	Classes '"BB7Copula"', '"surBB7Copula"', '"r90BB7Copula"' and '"r270BB7Copula"'
BB8Copula	Constructor of the BB8 Family and Rotated Versions thereof
BB8Copula-class	Classes '"BB8Copula"', '"surBB8Copula"', '"r90BB8Copula"' and '"r270BB8Copula"'
BetaMatrix	Matrix of Empirical Blomqvist's Beta Values
BiCop	Constructing BiCop-objects
BiCopCDF	Distribution Function of a Bivariate Copula
BiCopCheck	Check for family/parameter consistency in bivariate copula models
BiCopChiPlot	Chi-plot for Bivariate Copula Data
BiCopCompare	Shiny app for bivariate copula selection
BiCopCondSim	Conditional simulation from a Bivariate Copula
BiCopDeriv	Derivatives of a Bivariate Copula Density
BiCopDeriv2	Second Derivatives of a Bivariate Copula Density
BiCopEst	Parameter Estimation for Bivariate Copula Data
BiCopEstList	List of Maximum Likelihood Estimates for Several Bivariate Copula Families
BiCopGofTest	Goodness-of-Fit Test for Bivariate Copulas
BiCopHfunc	Conditional Distribution Function of a Bivariate Copula
BiCopHfunc1	Conditional Distribution Function of a Bivariate Copula
BiCopHfunc2	Conditional Distribution Function of a Bivariate Copula
BiCopHfuncDeriv	Derivatives of the h-Function of a Bivariate Copula
BiCopHfuncDeriv2	Second Derivatives of the h-Function of a Bivariate Copula
BiCopHinv	Inverse Conditional Distribution Function of a Bivariate Copula
BiCopHinv1	Inverse Conditional Distribution Function of a Bivariate Copula
BiCopHinv2	Inverse Conditional Distribution Function of a Bivariate Copula
BiCopIndTest	Independence Test for Bivariate Copula Data
BiCopKDE	Kernel estimate of a Bivariate Copula Density
BiCopKPlot	Kendall's Plot for Bivariate Copula Data
BiCopLambda	Lambda-Function (Plot) for Bivariate Copula Data
BiCopMetaContour	Contour Plot of Bivariate Meta Distribution
BiCopName	Bivariate Copula Family Names
BiCopPar2Beta	Blomqvist's Beta Value of a Bivariate Copula
BiCopPar2TailDep	Tail Dependence Coefficients of a Bivariate Copula
BiCopPar2Tau	Kendall's Tau Value of a Bivariate Copula
BiCopPDF	Density of a Bivariate Copula
BiCopSelect	Selection and Maximum Likelihood Estimation of Bivariate Copula Families
BiCopSim	Simulation from a Bivariate Copula
BiCopTau2Par	Parameter of a Bivariate Copula for a given Kendall's Tau Value
BiCopVuongClarke	Scoring Goodness-of-Fit Test based on Vuong And Clarke Tests for Bivariate Copula Data

-- C --

C2RVine	Transform C-Vine to R-Vine Structure
contour.BiCop	Plotting tools for BiCop objects
contour.RVineMatrix	Plotting 'RVineMatrix' objects.
copulaFromFamilyIndex	Construction of a Copula Object from a VineCopula Family Index

-- D --

D2RVine	Transform D-Vine to R-Vine Structure
daxreturns	Major German Stocks
ddCopula	Partial Derivatives of Copulas
dduCopula	Partial Derivatives of Copulas
dduCopula-method	Classes '"BB1Copula"', '"surBB1Copula"', '"r90BB1Copula"' and '"r270BB1Copula"'
dduCopula-method	Classes '"BB6Copula"', '"surBB6Copula"', '"r90BB6Copula"' and '"r270BB6Copula"'
dduCopula-method	Classes '"BB7Copula"', '"surBB7Copula"', '"r90BB7Copula"' and '"r270BB7Copula"'
dduCopula-method	Classes '"BB8Copula"', '"surBB8Copula"', '"r90BB8Copula"' and '"r270BB8Copula"'
dduCopula-method	Classes '"joeBiCopula"', '"surJoeBiCopula"', '"r90JoeBiCopula"' and '"r270JoeBiCopula"'
dduCopula-method	Classes '"surClaytonCopula"', '"r90ClaytonCopula"' and '"r270ClaytonCopula"'
dduCopula-method	Classes '"surGumbelCopula"', '"r90GumbelCopula"' and '"r270GumbelCopula"'
dduCopula-method	Class '"tawnT1Copula"'
dduCopula-method	Class '"tawnT2Copula"'
ddvCopula	Partial Derivatives of Copulas
ddvCopula-method	Classes '"BB1Copula"', '"surBB1Copula"', '"r90BB1Copula"' and '"r270BB1Copula"'
ddvCopula-method	Classes '"BB6Copula"', '"surBB6Copula"', '"r90BB6Copula"' and '"r270BB6Copula"'
ddvCopula-method	Classes '"BB7Copula"', '"surBB7Copula"', '"r90BB7Copula"' and '"r270BB7Copula"'
ddvCopula-method	Classes '"BB8Copula"', '"surBB8Copula"', '"r90BB8Copula"' and '"r270BB8Copula"'
ddvCopula-method	Classes '"joeBiCopula"', '"surJoeBiCopula"', '"r90JoeBiCopula"' and '"r270JoeBiCopula"'
ddvCopula-method	Classes '"surClaytonCopula"', '"r90ClaytonCopula"' and '"r270ClaytonCopula"'
ddvCopula-method	Classes '"surGumbelCopula"', '"r90GumbelCopula"' and '"r270GumbelCopula"'
ddvCopula-method	Class '"tawnT1Copula"'
ddvCopula-method	Class '"tawnT2Copula"'

-- F --

fitCopula-method	Classes '"BB8Copula"', '"surBB8Copula"', '"r90BB8Copula"' and '"r270BB8Copula"'
fitCopula-method	Class '"vineCopula"'

-- G --

getKendallDistr-method	Classes '"BB1Copula"', '"surBB1Copula"', '"r90BB1Copula"' and '"r270BB1Copula"'
getKendallDistr-method	Classes '"BB6Copula"', '"surBB6Copula"', '"r90BB6Copula"' and '"r270BB6Copula"'
getKendallDistr-method	Classes '"BB7Copula"', '"surBB7Copula"', '"r90BB7Copula"' and '"r270BB7Copula"'
getKendallDistr-method	Classes '"BB8Copula"', '"surBB8Copula"', '"r90BB8Copula"' and '"r270BB8Copula"'
getKendallDistr-method	Classes '"joeBiCopula"', '"surJoeBiCopula"', '"r90JoeBiCopula"' and '"r270JoeBiCopula"'

-- J --

joeBiCopula	Constructor of the Joe Family and Rotated Versions thereof
joeBiCopula-class	Classes '"joeBiCopula"', '"surJoeBiCopula"', '"r90JoeBiCopula"' and '"r270JoeBiCopula"'

-- K --

kendallDistribution-method	Classes '"BB1Copula"', '"surBB1Copula"', '"r90BB1Copula"' and '"r270BB1Copula"'
kendallDistribution-method	Classes '"BB6Copula"', '"surBB6Copula"', '"r90BB6Copula"' and '"r270BB6Copula"'
kendallDistribution-method	Classes '"BB7Copula"', '"surBB7Copula"', '"r90BB7Copula"' and '"r270BB7Copula"'
kendallDistribution-method	Classes '"BB8Copula"', '"surBB8Copula"', '"r90BB8Copula"' and '"r270BB8Copula"'
kendallDistribution-method	Classes '"joeBiCopula"', '"surJoeBiCopula"', '"r90JoeBiCopula"' and '"r270JoeBiCopula"'

-- P --

pairs.copuladata	Pairs Plot of Copula Data
plot.BiCop	Plotting tools for BiCop objects
plot.RVineMatrix	Plotting 'RVineMatrix' objects.
pobs	Pseudo-Observations

-- R --

r270BB1Copula	Constructor of the BB1 Family and Rotated Versions thereof
r270BB1Copula-class	Classes '"BB1Copula"', '"surBB1Copula"', '"r90BB1Copula"' and '"r270BB1Copula"'
r270BB6Copula	Constructor of the BB6 Family and Rotated Versions thereof
r270BB6Copula-class	Classes '"BB6Copula"', '"surBB6Copula"', '"r90BB6Copula"' and '"r270BB6Copula"'
r270BB7Copula	Constructor of the BB7 Family and Rotated Versions thereof
r270BB7Copula-class	Classes '"BB7Copula"', '"surBB7Copula"', '"r90BB7Copula"' and '"r270BB7Copula"'
r270BB8Copula	Constructor of the BB8 Family and Rotated Versions thereof
r270BB8Copula-class	Classes '"BB8Copula"', '"surBB8Copula"', '"r90BB8Copula"' and '"r270BB8Copula"'
r270ClaytonCopula	Survival and Rotated Clayton Copulas
r270ClaytonCopula-class	Classes '"surClaytonCopula"', '"r90ClaytonCopula"' and '"r270ClaytonCopula"'
r270GumbelCopula	Survival and Rotated Gumbel Copulas
r270GumbelCopula-class	Classes '"surGumbelCopula"', '"r90GumbelCopula"' and '"r270GumbelCopula"'
r270JoeBiCopula	Constructor of the Joe Family and Rotated Versions thereof
r270JoeBiCopula-class	Classes '"joeBiCopula"', '"surJoeBiCopula"', '"r90JoeBiCopula"' and '"r270JoeBiCopula"'
r270TawnT1Copula	Constructor of the Tawn Type 1 Family and Rotated Versions thereof
r270TawnT1Copula-class	Class '"tawnT1Copula"'
r270TawnT2Copula	Constructor of the Tawn Type 2 Family and Rotated Versions thereof
r270TawnT2Copula-class	Class '"tawnT2Copula"'
r90BB1Copula	Constructor of the BB1 Family and Rotated Versions thereof
r90BB1Copula-class	Classes '"BB1Copula"', '"surBB1Copula"', '"r90BB1Copula"' and '"r270BB1Copula"'
r90BB6Copula	Constructor of the BB6 Family and Rotated Versions thereof
r90BB6Copula-class	Classes '"BB6Copula"', '"surBB6Copula"', '"r90BB6Copula"' and '"r270BB6Copula"'
r90BB7Copula	Constructor of the BB7 Family and Rotated Versions thereof
r90BB7Copula-class	Classes '"BB7Copula"', '"surBB7Copula"', '"r90BB7Copula"' and '"r270BB7Copula"'
r90BB8Copula	Constructor of the BB8 Family and Rotated Versions thereof
r90BB8Copula-class	Classes '"BB8Copula"', '"surBB8Copula"', '"r90BB8Copula"' and '"r270BB8Copula"'
r90ClaytonCopula	Survival and Rotated Clayton Copulas
r90ClaytonCopula-class	Classes '"surClaytonCopula"', '"r90ClaytonCopula"' and '"r270ClaytonCopula"'
r90GumbelCopula	Survival and Rotated Gumbel Copulas
r90GumbelCopula-class	Classes '"surGumbelCopula"', '"r90GumbelCopula"' and '"r270GumbelCopula"'
r90JoeBiCopula	Constructor of the Joe Family and Rotated Versions thereof
r90JoeBiCopula-class	Classes '"joeBiCopula"', '"surJoeBiCopula"', '"r90JoeBiCopula"' and '"r270JoeBiCopula"'
r90TawnT1Copula	Constructor of the Tawn Type 1 Family and Rotated Versions thereof
r90TawnT1Copula-class	Class '"tawnT1Copula"'
r90TawnT2Copula	Constructor of the Tawn Type 2 Family and Rotated Versions thereof
r90TawnT2Copula-class	Class '"tawnT2Copula"'
RVineAIC	AIC and BIC of an R-Vine Copula Model
RVineBIC	AIC and BIC of an R-Vine Copula Model
RVineClarkeTest	Clarke Test Comparing Two R-Vine Copula Models
RVineCopSelect	Sequential Pair-Copula Selection and Estimation for R-Vine Copula Models
RVineCor2pcor	(Partial) Correlations for R-Vine Copula Models
RVineGofTest	Goodness-of-Fit Tests for R-Vine Copula Models
RVineGrad	Gradient of the Log-Likelihood of an R-Vine Copula Model
RVineHessian	Hessian Matrix of the Log-Likelihood of an R-Vine Copula Model
RVineLogLik	Log-Likelihood of an R-Vine Copula Model
RVineMatrix	R-Vine Copula Model in Matrix Notation
RVineMatrixCheck	R-Vine Matrix Check
RVineMatrixNormalize	Normalization of R-Vine Matrix
RVineMLE	Maximum Likelihood Estimation of an R-Vine Copula Model
RVinePar2Beta	Blomqvist's Beta Values of an R-Vine Copula Model
RVinePar2Tau	Kendall's Tau Values of an R-Vine Copula Model
RVinePcor2cor	(Partial) Correlations for R-Vine Copula Models
RVinePDF	PDF of an R-Vine Copula Model
RVinePIT	Probability Integral Transformation for R-Vine Copula Models
RVineSeqEst	Sequential Estimation of an R-Vine Copula Model
RVineSim	Simulation from an R-Vine Copula Model
RVineStdError	Standard Errors of an R-Vine Copula Model
RVineStructureSelect	Sequential Specification of R- and C-Vine Copula Models
RVineTreePlot	Visualisation of R-Vine Tree Structure
RVineVuongTest	Vuong Test Comparing Two R-Vine Copula Models

-- S --

surBB1Copula	Constructor of the BB1 Family and Rotated Versions thereof
surBB1Copula-class	Classes '"BB1Copula"', '"surBB1Copula"', '"r90BB1Copula"' and '"r270BB1Copula"'
surBB6Copula	Constructor of the BB6 Family and Rotated Versions thereof
surBB6Copula-class	Classes '"BB6Copula"', '"surBB6Copula"', '"r90BB6Copula"' and '"r270BB6Copula"'
surBB7Copula	Constructor of the BB7 Family and Rotated Versions thereof
surBB7Copula-class	Classes '"BB7Copula"', '"surBB7Copula"', '"r90BB7Copula"' and '"r270BB7Copula"'
surBB8Copula	Constructor of the BB8 Family and Rotated Versions thereof
surBB8Copula-class	Classes '"BB8Copula"', '"surBB8Copula"', '"r90BB8Copula"' and '"r270BB8Copula"'
surClaytonCopula	Survival and Rotated Clayton Copulas
surClaytonCopula-class	Classes '"surClaytonCopula"', '"r90ClaytonCopula"' and '"r270ClaytonCopula"'
surGumbelCopula	Survival and Rotated Gumbel Copulas
surGumbelCopula-class	Classes '"surGumbelCopula"', '"r90GumbelCopula"' and '"r270GumbelCopula"'
surJoeBiCopula	Constructor of the Joe Family and Rotated Versions thereof
surJoeBiCopula-class	Classes '"joeBiCopula"', '"surJoeBiCopula"', '"r90JoeBiCopula"' and '"r270JoeBiCopula"'
surTawnT1Copula	Constructor of the Tawn Type 1 Family and Rotated Versions thereof
surTawnT1Copula-class	Class '"tawnT1Copula"'
surTawnT2Copula	Constructor of the Tawn Type 2 Family and Rotated Versions thereof
surTawnT2Copula-class	Class '"tawnT2Copula"'

-- T --

TauMatrix	Matrix of Empirical Kendall's Tau Values
tawnT1Copula	Constructor of the Tawn Type 1 Family and Rotated Versions thereof
tawnT1Copula-class	Class '"tawnT1Copula"'
tawnT2Copula	Constructor of the Tawn Type 2 Family and Rotated Versions thereof
tawnT2Copula-class	Class '"tawnT2Copula"'

-- V --

VineCopula	Statistical Inference of Vine Copulas
vineCopula	Constructor of the Class 'vineCopula'.
vineCopula-class	Class '"vineCopula"'