Package: copBasic 2.2.6

copBasic: General Bivariate Copula Theory and Many Utility Functions

Extensive functions for bivariate copula (bicopula) computations and related operations for bicopula theory. The lower, upper, product, and select other bicopula are implemented along with operations including the diagonal, survival copula, dual of a copula, co-copula, and numerical bicopula density. Level sets, horizontal and vertical sections are supported. Numerical derivatives and inverses of a bicopula are provided through which simulation is implemented. Bicopula composition, convex combination, asymmetry extension, and products also are provided. Support extends to the Kendall Function as well as the Lmoments thereof. Kendall Tau, Spearman Rho and Footrule, Gini Gamma, Blomqvist Beta, Hoeffding Phi, Schweizer- Wolff Sigma, tail dependency, tail order, skewness, and bivariate Lmoments are implemented, and positive/negative quadrant dependency, left (right) increasing (decreasing) are available. Other features include Kullback-Leibler Divergence, Vuong Procedure, spectral measure, and Lcomoments for inference, maximum likelihood, and AIC, BIC, and RMSE for goodness-of-fit.

Authors:William Asquith [aut, cre]

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NEWS

# Install 'copBasic' in R:
install.packages('copBasic', repos = c('https://wasquith.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/wasquith/copbasic/issues

Datasets:
  • ReineckeWell266 - Porosity and Permeability Data for Well-266 of the Reinecke Oil Field, Horseshoe Atoll, Texas
  • ReineckeWells - Porosity and Permeability Data for the Reinecke Oil Field, Horseshoe Atoll, Texas

On CRAN:

5.46 score 5 packages 137 scripts 867 downloads 1 mentions 147 exports 8 dependencies

Last updated 2 months agofrom:541a528782. Checks:OK: 7. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 07 2024
R-4.5-winOKNov 07 2024
R-4.5-linuxOKNov 07 2024
R-4.4-winOKNov 07 2024
R-4.4-macOKNov 07 2024
R-4.3-winOKNov 07 2024
R-4.3-macOKNov 07 2024

Exports:aicCOPAMHcopasCOPbicCOPbicoplocbilmomsblomatrixCOPdecblomatrixCOPiqrblomCOPblomCOPssbreveCOPCIRCcopCLcopcoCOPcomposite1COPcomposite2COPcomposite3COPconcordCOPconvex2COPconvexCOPCOPcopBasic.fitpara.betaCOPinvCOPinv2densityCOPdensityCOPplotderCOPderCOP2derCOPinvderCOPinv2diagCOPdiagCOPatfdiagCOPinvduCOPEMPIRcopEMPIRcopdfEMPIRgridEMPIRgridderEMPIRgridder2EMPIRgridderinvEMPIRgridderinv2EMPIRmed.regressEMPIRmed.regress2EMPIRqua.regressEMPIRqua.regress2EMPIRsimEMPIRsimvEuvCOPEvuCOPFGMcopFGMicopfootCOPFRECHETcopgEVcopGHcopginiCOPGLcopGLEVcopGLPMcopglueCOPgridCOPhoefCOPHRcopisCOP.LTDisCOP.permsymisCOP.PQDisCOP.radsymisCOP.RTIisfuncCOPJOcopB5JOcopBB4joeskewCOPjoint.curvesCOPjoint.curvesCOP2jointCOPkfuncCOPkfuncCOPinvkfuncCOPlmomkfuncCOPlmomskmeasCOPkullCOPkullCOPintlcomCOPlcomCOPpvlcomoms2.ABcop2parameterlcomoms2.ABKGcop2parameterlevel.curvesCOPlevel.curvesCOP2level.setCOPlevel.setCOP2LpCOPLpCOPpermsymLpCOPradsymLzCOPpermsymMM_N5p12bmed.regressCOPmed.regressCOP2mleCOPN4212copnuskewCOPnustarCOPORDSUMcopORDSUWcopPPAcopPARETOcopPLACKETTcopPLACKETTparPLACKETTsimPLcopPLparprod2COPpsepolarPSPqua.regressCOPqua.regressCOP.drawqua.regressCOP2RAYcoprCOPRFcoprhobevCOPrhoCOPrmseCOPsectionCOPsemicorCOPsimcomposite3COPsimcompositeCOPsimCOPsimCOPmicrosimCOPvspectralmeasstabtaildepfstatTnsurCOPsurfuncCOPtailconCOPtaildepCOPtailordCOPtauCOPtEVcopuvlmomsuvskewvuongCOPWW_N5p12awolfCOP

Dependencies:goftestlmomcoLmomentsMASSrandtoolboxRcppRcppArmadillorngWELL

Readme and manuals

Help Manual

Help pageTopics
Basic Theoretical Copula, Empirical Copula, and Various Utility FunctionscopBasic-package
Akaike Information Criterion between a Fitted Coupla and an Empirical CopulaaicCOP
The Ali-Mikhail-Haq CopulaAMHcop
Wrapper on a User-Level Formula to Become a Copula FunctionasCOP
Bayesian Information Criterion between a Fitted Coupla and an Empirical CopulabicCOP
Analog to Line of Organic Correlation by Copula Diagonalbicoploc
Bivariate L-moments and L-comoments of a Copulabilmoms
A Matrix of Blomqvist-like Betas of a CopulablomatrixCOP blomatrixCOPdec blomatrixCOPiqr
The Blomqvist Beta of a CopulablomCOP
Blomqvist (Schmid-Schmidt) Betas of a CopulablomCOPss
Add Asymmetry to a CopulabreveCOP
Copula of Circular Uniform DistributionCIRCcop
The Clayton CopulaCLcop
The Co-Copula FunctioncoCOP
Composition of a Single Symmetric Copula with Two Compositing Parameterscomposite1COP
Composition of Two Copulas with Two Compositing Parameterscomposite2COP
(Extended) Composition of Two Copulas with Four Compositing Parameterscomposite3COP
Convex Combination of Two Copulasconvex2COP
Convex Combination of an Arbitrary Number of CopulasconvexCOP
The CopulaCOP
A Single or Multi-Parameter Optimization Engine (Beta Version)copBasic.fitpara.beta
The Inverse of a Copula for V with respect to UCOPinv
The Inverse of a Copula for U with respect to VCOPinv2
Density of a CopuladensityCOP
Contour Density Plot of a CopuladensityCOPplot
Numerical Derivative of a Copula for V with respect to UderCOP
Numerical Derivative of a Copula for U with respect to VderCOP2
Numerical Derivative Inverse of a Copula for V with respect to UderCOPinv
Numerical Derivative Inverse of a Copula for U with respect to VderCOPinv2
The Diagonals of a CopuladiagCOP
Numerical Rooting the Diagonal of a CopuladiagCOPatf diagCOPinv
The Dual of a Copula FunctionduCOP
The Bivariate Empirical CopulaEMPIRcop
Data Frame Representation of the Bivariate Empirical CopulaEMPIRcopdf
Grid of the Bivariate Empirical CopulaEMPIRgrid
Derivatives of the Grid of the Bivariate Empirical Copula for V with respect to UEMPIRgridder
Derivatives of the Grid of the Bivariate Empirical Copula for U with respect to VEMPIRgridder2
Derivative Inverses of the Grid of the Bivariate Empirical Copula for V with respect to UEMPIRgridderinv
Derivative Inverses of the Grid of the Bivariate Empirical Copula for U with respect to VEMPIRgridderinv2
Median Regression of the Grid of the Bivariate Empirical Copula for V with respect to UEMPIRmed.regress
Median Regression of the Grid of the Bivariate Empirical Copula for U with respect to VEMPIRmed.regress2
Quantile Regression of the Grid of the Bivariate Empirical Copula for V with respect to UEMPIRqua.regress
Quantile Regression of the Grid of the Bivariate Empirical Copula for U with respect to VEMPIRqua.regress2
Simulate a Bivariate Empirical CopulaEMPIRsim
Simulate a Bivariate Empirical Copula For a Fixed Value of UEMPIRsimv
Expected value of U given VEuvCOP
Expected value of V given UEvuCOP
The Generalized Farlie-Gumbel-Morgenstern CopulaFGMcop FGMicop
The Spearman Footrule of a CopulafootCOP
The Fréchet Family CopulaFRECHETcop
The Gaussian-based (Extreme Value) CopulagEVcop
The Gumbel-Hougaard Extreme Value CopulaGHcop
The Gini Gamma of a CopulaginiCOP
The Galambos Extreme Value Copula (with Gamma Power Mixture [Joe/BB4] and Lower Extreme Value Limit)GLcop GLEVcop GLPMcop JOcopBB4
Gluing Two CopulasglueCOP
Compute a Copula on a GridgridCOP
The Hoeffding Phi of a Copula or Lp Distances (Independence, Radial Asymmetry, or Reflection Symmetry Forms)hoefCOP LpCOP LpCOPpermsym LpCOPradsym
The Hüsler-Reiss Extreme Value CopulaHRcop
Is a Copula Left-Tail DecreasingisCOP.LTD
Is a Copula Permutation SymmetricisCOP.permsym
The Positively Quadrant Dependency State of a CopulaisCOP.PQD
Is a Copula Radially SymmetricisCOP.radsym
Is a Copula Right-Tail IncreasingisCOP.RTI
Is a General Bivariate Function a Copula by Gridded Search?isfuncCOP
The Joe/B5 Copula (B5)JOcopB5
Joe's Nu-Skew and the copBasic Nu-Star of a CopulajoeskewCOP nuskewCOP nustarCOP
Compute Coordinates of the Marginal Probabilities given joint AND or OR Probabilitiesjoint.curvesCOP
Compute Coordinates of the Marginal Probabilities given joint AND or OR Probabilityjoint.curvesCOP2
Compute Equal Marginal Probabilities Given a Single Joint AND or OR Probability for a CopulajointCOP
The Kendall (Distribution) Function of a CopulakfuncCOP kmeasCOP
The Inverse Kendall Function of a CopulakfuncCOPinv
The L-moments of the Kendall Function of a CopulakfuncCOPlmom kfuncCOPlmoms
Kullback-Leibler Divergence, Jeffrey Divergence, and Kullback-Leibler Sample SizekullCOP kullCOPint
L-comoments and Bivariate L-moments of a CopulalcomCOP
Simulating the Sample Distribution(s) of L-correlation, L-coskew, and L-cokurtosis for a CopulalcomCOPpv
Convert L-comoments to Parameters of Alpha-Beta Compositions of Two One-Parameter Copulaslcomoms2.ABcop2parameter
Convert L-comoments to Parameters of Alpha-Beta-Kappa-Gamma Compositions of Two One-Parameter Copulaslcomoms2.ABKGcop2parameter
Compute and Plot Level Curves of a Copula V with respect to Ulevel.curvesCOP
Compute and Plot Level Curves of a Copula U with respect to Vlevel.curvesCOP2
Compute a Level Set of a Copula V with respect to Ulevel.setCOP
Compute a Level Set of a Copula U with respect to Vlevel.setCOP2
Maximum Asymmetry Measure (or Vector) of a Copula by ExchangabilityLzCOPpermsym
The Fréchet-Hoeffding Upper-Bound CopulaM
Shuffles of Upper-Bound Copula, Example 5.12b of Nelsen's BookM_N5p12b
Perform Median Regression using a Copula by Numerical Derivative Method for V with respect to Umed.regressCOP
Perform Median Regression using a Copula by Numerical Derivative Method for U with respect to Vmed.regressCOP2
Maximum Pseudo-Log-Likelihood Estimation for Copula Parameter EstimationmleCOP
The Copula of Equation 4.2.12 of Nelsen's BookN4212cop
Ordinal Sums of M-CopulaORDSUMcop
Ordinal Sums of W-CopulaORDSUWcop
The Product (Independence) CopulaP
The Pareto CopulaPAcop PARETOcop
The Plackett CopulaPLACKETTcop PLcop
Estimate the Parameter of the Plackett CopulaPLACKETTpar PLpar
Direct Simulation of a Plackett CopulaPLACKETTsim
The Product of Two Copulasprod2COP
Pseudo-Polar Representation of Bivariate Datapsepolar
The Ratio of the Product Copula to Summation minus Product CopulaPSP
Perform Quantile Regression using a Copula by Numerical Derivative Method for V with respect to Uqua.regressCOP
Draw Quantile Regressions using a Copula by Numerical Derivative Method for V with respect to U or U with respect to Vqua.regressCOP.draw
Perform Quantile Regression using a Copula by Numerical Derivative Method for U with respect to Vqua.regressCOP2
The Rayleigh CopulaRAYcop
Porosity and Permeability Data for Well-266 of the Reinecke Oil Field, Horseshoe Atoll, TexasReineckeWell266
Porosity and Permeability Data for the Reinecke Oil Field, Horseshoe Atoll, TexasReineckeWells
The Raftery CopulaRFcop
A Dependence Measure for a Bivariate Extreme Value Copula based on the Expectation of the Product of Negated Log-Transformed Random Variables U and VrhobevCOP
The Spearman Rho of a CopularhoCOP
Root Mean Square Error between a Fitted Copula and an Empirical CopularmseCOP
The Sections or Derivative of the Sections of a CopulasectionCOP
Lower and Upper Semi-Correlations of a CopulasemicorCOP
Compute the L-comoments of a Four-Value Composited Copula by Simulationsimcomposite3COP
Compute the L-comoments of a Two-Value Composited Copula by Simulationsimcomposite2COP simcompositeCOP
Simulate a Copula by Numerical Derivative MethodrCOP simCOP
Simulate V from U through a Copula by Numerical Derivative MethodsimCOPmicro simCOPv
Estimation of the Spectral Measurespectralmeas
Estimation of the Stable Tail Dependence Functionstabtaildepf
The Tn Statistic of a Fitted Copula to an Empirical CopulastatTn
The Survival CopulasurCOP
The Joint Survival FunctionsurfuncCOP
The Tail Concentration Function of a CopulatailconCOP
The Lower- and Upper-Tail Dependency Parameters of a CopulataildepCOP
The Lower- and Upper-Tail Orders of a CopulatailordCOP
The Kendall Tau and Concordance Function of a CopulaconcordCOP tauCOP
The t-EV (Extreme Value) CopulatEVcop
Bivariate Skewness after Joe (2014) or the Univariate L-moments of Combined U and Vuvlmoms uvskew
The Vuong Procedure for Parametric Copula ComparisonvuongCOP
The Fréchet-Hoeffding Lower-Bound CopulaW
Ordinal Sums of Lower-Bound Copula, Example 5.12a of Nelsen's BookW_N5p12a
The Schweizer and Wolff Sigma of a CopulawolfCOP