Extend the 'copula' Package with Families and Models from 'VineCopula'

Provides new classes for (rotated) BB1, BB6, BB7, BB8, and Tawn copulas, extends the existing Gumbel and Clayton families with rotations, and allows to set up a vine copula model using the 'copula' API. Corresponding objects from the 'VineCopula' API can easily be converted.

VC2copula

VC2copula extends the copula package with families and models from VineCopula. This functionality was previously part of VineCopula, but is now provided as a stand-alone version.

Installation

You can install the released version of VC2copula from CRAN with

install.packages("VC2copula")

and the development version with

devtools::install_github("tnagler/VC2copula")

Functionality

Bivariate copula models

The package exposes classes for all BB- and Tawn families implemented in VineCopula, including their rotations. Additionally, rotated versions of the Clayton and Gumbel copula families are exposed.

Example

cop <- BB1Copula(c(1, 1.5))
dCopula(c(0.5, 0.5), cop)
plot(rCopula(500, cop))

Full list of exposed classes

"BB1Copula", "surBB1Copula", "r90BB1Copula", "r270BB1Copula"
"BB6Copula", "surBB6Copula", "r90BB6Copula", "r270BB6Copula"
"BB7Copula", "surBB7Copula", "r90BB7Copula", "r270BB7Copula"
"BB8Copula", "surBB8Copula", "r90BB8Copula", "r270BB8Copula"
"surClaytonCopula", "r90ClaytonCopula", "r270ClaytonCopula"
"surGumbelCopula", "r90GumbelCopula", "r270GumbelCopula"
"joeBiCopula", "surJoeBiCopula", "r90JoeBiCopula", "r270JoeBiCopula"
"tawnT1Copula", "surTawnT1Copula", "r90TawnT1Copula", "r270TawnT1Copula"
"tawnT2Copula", "surTawnT2Copula", "r90TawnT2Copula", "r270TawnT2Copula"

Vine copula models

There is one more class vineCopula for vine copula models. You can convert RVineMatrix objects for the VineCopula package or fit new models using only the copula API:

data("daxreturns", package = "VineCopula")
pairs(daxreturns[, 1:4])

vine <- vineCopula(as.integer(4))
fit <- fitCopula(vine, daxreturns[, 1:4])
pairs(rCopula(500, fit@copula))