VineCopula: Statistical Inference of Vine Copulas

Canonical link: https://rscholar.com/pkg/VineCopula

Thomas Nagler • Ulf Schepsmeier • Jakob Stoeber • Eike Christian Brechmann • Benedikt Graeler • Tobias Erhardt • Carlos Almeida • Aleksey Min • Claudia Czado • Mathias Hofmann • Matthias Killiches • Harry Joe • Thibault Vatter • View description and downloads View dependencies GitHub project

2012 Published

2.5.1 Version

0 Citations

13 Authors

Referenced by ⇅	Year
OpVaR: Statistical Methods for Modelling Operational Risk (Version 1.2)	2018
AssetCorr: Estimating Asset Correlations from Default Data (Version 1.0.4)	2018
CDVineCopulaConditional: Sampling from Conditional C- and D-Vine Copulas (Version 0.1.1)	2017
CondCopulas: Estimation and Inference for Conditional Copula Models (Version 0.1.4.1)	2022
CopulaCenR: Copula-Based Regression Models for Multivariate Censored Data (Version 1.2.3)	2019
FactorCopula: Factor, Bi-Factor, Second-Order and Factor Tree Copula Models (Version 0.9.3)	2020
GJRM: Generalised Joint Regression Modelling (Version 0.2-6.7)	2017
LocalCop: Local Likelihood Inference for Conditional Copula Models (Version 0.0.2)	2024
LogisticCopula: A Copula Based Extension of Logistic Regression (Version 0.1.0)	2024
MMDCopula: Robust Estimation of Copulas by Maximum Mean Discrepancy (Version 0.2.1)	2020
VC2copula: Extend the 'copula' Package with Families and Models from 'VineCopula' (Version 0.1.5)	2019
copula: Multivariate Dependence with Copulas (Version 1.1-4)	2005
gamCopula: Generalized Additive Models for Bivariate Conditional Dependence Structures and Vine Copulas (Version 0.0-7)	2017
gofCopula: Goodness-of-Fit Tests for Copulae (Version 0.4-1)	2015
kdecopula: Kernel Smoothing for Bivariate Copula Densities (Version 0.9.2)	2015
kdevine: Multivariate Kernel Density Estimation with Vine Copulas (Version 0.4.5)	2017
pacotest: Testing for Partial Copulas and the Simplifying Assumption in Vine Copulas (Version 0.4.2)	2017
parTimeROC: Parametric Time-Dependent Receiver Operating Characteristic (Version 0.1.0)	2024
vccp: Vine Copula Change Point Detection in Multivariate Time Series (Version 0.1.1)	2021

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