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Enjoy the Joy of Copulas: With a Package copula

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  • Yan, Jun

Abstract

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.

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  • Yan, Jun, 2007. "Enjoy the Joy of Copulas: With a Package copula," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 21(i04).
    • Handle: RePEc:jss:jstsof:v:021:i04
    DOI: http://hdl.handle.net/10.18637/jss.v021.i04
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    1. Bouye, Eric & Durlleman, Valdo & Nikeghbali, Ashkan & Riboulet, Gaël & Roncalli, Thierry, 2000. "Copulas for finance," MPRA Paper 37359, University Library of Munich, Germany.
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