Title: General Copula Theory and Many Utility Functions
Packaged: 2015-01-02 19:25:17 UTC; williamasquith

Packaged: 2015-01-30 13:48:33 UTC; williamasquith

Title: General Bivariate Copula Theory and Many Utility Functions
Description: Extensive functions for bivariate copula (bicopula) computations and related mathematical operations oriented around the oft cited and fundamental bicopula theory described by Nelsen (2006), Joe (2014), and other selected works. The lower, upper, product, and a few select other bicopula are implemented. Individual copula support is deliberately limited to keep the package focused on an educational API to major bicopula theory. Expressions for an arbitrary bicopula include the diagonal, survival copula, the dual of a copula, co-copula, and numerical bicopula density. Level curves (sets) as well as horizontal and vertical sections and derivatives of such sections also are supported. The numerical derivatives of a bicopula are provided as well as inverses; simulation by the conditional distribution method thus are supported. Composition, convex combination, and products of bicopula are provided.  Copula properties include Kendall Function and L-moments thereof, Kendall Tau, Spearman Rho and Footrule, Gini Gamma, Blomqvist Beta, Hoeffding Phi, Schweizer-Wolff Sigma, tail dependency and order, and skewness. Evaluators of positively/negatively quadrant dependency, left-tail decreasing, and right-tail increasing are available. Kullback-Leibler divergence, Vuong's procedure, and L-comoments for copula inference are available. Quantile and median regressions for V with respect to U and U with respect to V are available. Empirical copulas (EC) are supported.
Packaged: 2015-08-31 17:01:35 UTC; williamasquith

Description: Extensive functions for bivariate copula (bicopula) computations and related operations concerning oft cited bicopula theory described by Nelsen (2006), Joe (2014), and other selected works. The lower, upper, product, and select other bicopula are implemented. Individual copula support is deliberately limited to keep the package focused on an API to bicopula theory. Arbitrary bicopula expressions include the diagonal, survival copula, the dual of a copula, co-copula, numerical bicopula density, and maximum likelihood estimation. Level curves/sets, horizontal/vertical sections also are supported. Numerical derivatives and inverses of a bicopula are provided; simulation by the conditional distribution method thus is supported. Bicopula Ccomposition, convex combination, and products are provided.  Support extends to Kendall Function and L-moments thereof, Kendall Tau, Spearman Rho and Footrule, Gini Gamma, Blomqvist Beta, Hoeffding Phi, Schweizer-Wolff Sigma, tail dependency (including pseudo-polar representation) and tail order, skewness, and bivariate L-moments. Evaluators of positively/negatively quadrant dependency, left(right)-tail decreasing(increasing) are available. Kullback-Leibler divergence, Vuong's procedure, Spectral Measure, and L-comoments for copula inference are available. Quantile and median regressions for V with respect to U and U with respect to V are available. Empirical copulas (EC) are supported.
Packaged: 2016-06-03 13:46:21 UTC; williamasquith