copula: Multivariate Dependence with Copulas

Classes (S4) of commonly used elliptical, Archimedean, extreme value and some more copula families. Methods for density, distribution, random number generation, bivariate dependence measures, perspective and contour plots. Fitting copula models including variance estimates. Independence and serial (univariate and multivariate) independence tests, and other copula related tests. Empirical copula and multivariate CDF. Goodness-of-fit tests for copulas based on multipliers, the parametric bootstrap with several transformation options. Merged former package 'nacopula' for nested Archimedean copulas: Efficient sampling algorithms, various estimators, goodness-of-fit tests and related tools and special functions.

Version: 0.999-13
Depends: R (≥ 2.15.2)
Imports: stats, graphics, methods, stats4, Matrix, lattice, gsl, ADGofTest, stabledist (≥ 0.6-4), mvtnorm, pspline
Suggests: MASS, KernSmooth, sfsmisc, scatterplot3d, Rmpfr, bbmle, partitions, polynom, rugarch, colorspace, mvnormtest, tseries, zoo
Enhances: nor1mix
Published: 2015-03-05
Author: Marius Hofert, Ivan Kojadinovic, Martin Maechler, and Jun Yan
Maintainer: Martin Maechler <maechler at>
License: GPL (≥ 3) | file LICENCE
NeedsCompilation: yes
Citation: copula citation info
Materials: NEWS ChangeLog
In views: Distributions, Finance, Multivariate
CRAN checks: copula results


Reference manual: copula.pdf
Vignettes: Franknacopula
Rho_AMH_beautiful% <——– "Name" on CRAN web page
Package source: copula_0.999-13.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X Snow Leopard binaries: r-release: copula_0.999-13.tgz, r-oldrel: copula_0.999-13.tgz
OS X Mavericks binaries: r-release: copula_0.999-13.tgz
Old sources: copula archive

Reverse dependencies:

Reverse depends: BivarP, CoClust, CoImp, HAC, HiDimMaxStable, lcopula, RGENERATEPREC, RMRAINGEN, SemiParSampleSel, vines
Reverse imports: apt, cds, copulaedas, VineCopula
Reverse suggests: aftgee, docopulae, mbbefd, npcp, simsalapar, simsem