Multivariate Dependence with Copulas

Classes (S4) of commonly used elliptical, Archimedean, extreme-value and other copula families, as well as their rotations, mixtures and asymmetrizations. Nested Archimedean copulas, related tools and special functions. Methods for density, distribution, random number generation, bivariate dependence measures, Rosenblatt transform, Kendall distribution function, perspective and contour plots. Fitting of copula models with potentially partly fixed parameters, including standard errors. Serial independence tests, copula specification tests (independence, exchangeability, radial symmetry, extreme-value dependence, goodness-of-fit) and model selection based on cross-validation. Empirical copula, smoothed versions, and non-parametric estimators of the Pickands dependence function.


Reference manual

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install.packages("copula")

1.1-7 by Martin Maechler, 8 months ago


https://copula.r-forge.r-project.org/, https://r-forge.r-project.org/projects/copula/, https://CRAN.r-project.org/package=copula


Report a bug at https://r-forge.r-project.org/tracker/?func=add&group_id=2140&atid=5417


Browse source code at https://github.com/cran/copula


Authors: Marius Hofert [aut] , Ivan Kojadinovic [aut] , Martin Maechler [aut, cre] (ORCID: , Jun Yan [aut] , Johanna G. Nešlehová [ctb] (evTestK() , ORCID: , Rebecca Morger [ctb] (fitCopula.ml(): code for free mixCopula weight parameters)


Documentation:   PDF Manual  


GPL (>= 3) | file LICENCE license


Imports stats, graphics, methods, stats4, Matrix, lattice, cluster, colorspace, gsl, ADGofTest, stabledist, mvtnorm, pcaPP, pspline, numDeriv

Suggests MASS, KernSmooth, sfsmisc, scatterplot3d, Rmpfr, bbmle, knitr, rmarkdown, animation, abind, crop, gridExtra, HAC, lcopula, mev, mvnormtest, parallel, partitions, polynom, qrng, randtoolbox, rugarch, Runuran, tseries, VGAM, VineCopula, zoo

Enhances nor1mix, copulaData

System requirements: pdfcrop (part of TexLive) is required to rebuild the vignettes.


Imported by BSL, CDSimX, ClustImpute, CoFM, CompAREdesign, CopulaCenR, CopulaSCR, EFDR, ExtremalDep, ExtremeRisks, GJRM, Kcop, LMMstar, LongDecompHE, MCARtest, MD2sample, MDgof, MLCOPULA, MOsemiind, Meanimiles, MultivariateTrendAnalysis, NSMM, PPMiss, RCTrep, REndo, STCCGEV, STCYP, SemiPar.depCens, SubTS, TempStable, WINS, bfboinet, bivgeom, boinet, cascsim, cases, cylcop, dMrs, depCensoring, depcoeff, discnorm, drought, ewens, fastqrs, flood, gamCopula, gasmodel, glmSTARMA, gnn, mlumr, multinma, mvnormalTest, nvmix, outstandR, pgee.mixed, propagate, psBayesborrow, pvars, pwSEM, qad, qch, rdborrow, rsdv, sgee, surrosurv, svars, tailDepFun, tsissm, zipfextR.

Depended on by COST, ClusterStability, CoClust, CoImp, CopCTS, HAC, HMMcopula, MixedIndTests, NCSCopula, RGENERATEPREC, VC2copula, censorcopula, gofCopula, lcopula.

Suggested by EDI, RDM, SimDesign, Spower, Surrogate, VecDep, copBasic, docopulae, ffp, kyotil, nor1mix, npcp, qrmtools, qrng, rlcv, robustrank, rsurv, simcausal, simsalapar, simsem, smqf, univariateML, wdm, zenplots.

Enhanced by copulaData.


See at CRAN