Enjoy the Joy of Copulas: With a Package copula

By Jun Yan. 2007

348 citations recorded by the source corpus.

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.

Subfields: Finance, Global and Planetary Change, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/ff2511995fb6e55eb17b9586f98874d92c1400a2

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Citations in the corpus

Flexible Copula Density Estimation with Penalized Hierarchical B‐splines (2013, methodology): “/, say, using the copula package in R; see Yan (2007).”