Statistical inference of vine copulas

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Documentation for package ‘VineCopula’ version 1.2

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VineCopula-package Statistical inference of vine copulas
BetaMatrix Matrix of empirical Blomqvist's beta values
BiCopCDF Distribution function of a bivariate copula
BiCopChiPlot Chi-plot for bivariate copula data
BiCopDeriv Derivatives of a bivariate copula density
BiCopDeriv2 Second derivatives of a bivariate copula density
BiCopEst Parameter estimation for bivariate copula data using inversion of Kendall's tau or maximum likelihood estimation
BiCopGofTest Goodness-of-fit test for bivariate copulas
BiCopHfunc Conditional distribution function (h-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
BiCopIndTest Independence test for bivariate copula data
BiCopKPlot Kendall's plot (K-plot) for bivariate copula data
BiCopLambda Lambda-function (plot) for bivariate copula data
BiCopMetaContour Contour plot of bivariate meta distribution with different margins and copula (theoretical and empirical)
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
C2RVine Transform C-vine to R-vine structure
D2RVine Transform D-vine to R-vine structure
daxreturns Major German Stocks
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 copula selection and estimation of R-vine copula models
RVineCor2pcor correlations to partial correlations and vice versa for R-vines
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 Vine Matrix validation
RVineMatrixNormalize Permute the variables to achieve a natural ordering
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 correlations to partial correlations and vice versa for R-vines
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 Plot function for R-vine trees
RVineVuongTest Vuong test comparing two R-vine copula models
TauMatrix Matrix of empirical Kendall's tau values
VineCopula Statistical inference of vine copulas