copula: 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.

Version: 1.1-3
Depends: R (≥ 3.5.0)
Imports: stats, graphics, methods, stats4, Matrix (≥ 1.5-0), lattice, colorspace, gsl, ADGofTest, stabledist (≥ 0.6-4), mvtnorm, pcaPP, pspline, numDeriv
Suggests: MASS, KernSmooth, sfsmisc, scatterplot3d, Rmpfr, bbmle, knitr, rmarkdown, abind, crop, gridExtra, lcopula, mev, mvnormtest, parallel, partitions, polynom, qrng, randtoolbox, rugarch, Runuran, tseries, VGAM, VineCopula, zoo
Enhances: nor1mix, copulaData
Published: 2023-12-07
DOI: 10.32614/CRAN.package.copula
Author: Marius Hofert ORCID iD [aut], Ivan Kojadinovic ORCID iD [aut], Martin Maechler ORCID iD [aut, cre], Jun Yan ORCID iD [aut], Johanna G. Nešlehová ORCID iD [ctb] (evTestK()), Rebecca Morger [ctb] ( code for free mixCopula weight parameters)
Maintainer: Martin Maechler <maechler at>
License: GPL (≥ 3) | file LICENCE
NeedsCompilation: yes
SystemRequirements: pdfcrop (part of TexLive) is required to rebuild the vignettes.
Citation: copula citation info
Materials: NEWS ChangeLog
In views: Distributions, ExtremeValue, Finance
CRAN checks: copula results


Reference manual: copula.pdf
Vignettes: Archimedean Liouville Copulas
MLE and Quantile Evaluation for a Clayton AR(1) Model with Student Marginals
Generalized Inverse Gaussian Archimedean Copulas
Hierarchical Archimax Copulas
Nested Archimedean Lévy Copulas
The Copula GARCH Model
Densities of Two-Level Nested Archimedean Copulas
Exploring Empirical Copulas
Log-Likelihood Visualization for Archimedean Copulas
Quasi-Random Numbers for Copula Models
Wild Animals: Examples of Nonstandard Copulas
Numerically stable Frank Copulas via Multiprecision (Rmpfr)
Nested Archimedean Copulas Meet R
Beautiful Spearman's Rho for AMH Copula


Package source: copula_1.1-3.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): copula_1.1-3.tgz, r-oldrel (arm64): copula_1.1-3.tgz, r-release (x86_64): copula_1.1-3.tgz, r-oldrel (x86_64): copula_1.1-3.tgz
Old sources: copula archive

Reverse dependencies:

Reverse depends: censorcopula, ClusterStability, CoClust, CoImp, CopCTS, COST, gofCopula, HAC, lcopula, MixedIndTests, NCSCopula, RGENERATEPREC, VC2copula, vfcp, vines
Reverse imports: bivgeom, boinet, BSL, cascsim, cases, cds, ClustImpute, CompAREdesign, CopulaCenR, copulaedas, cylcop, depcoeff, discnorm, drought, EFDR, ExtremalDep, ExtremeRisks, flood, gamCopula, gasmodel, GJRM, gnn, good, Kcop, LMMstar, MCARtest, MLCOPULA, multinma, mvnormalTest, nvmix, Omisc, PAsso, pbox, pgee.mixed, PortRisk, PPMiss, psBayesborrow, qad, qch, RCTrep, scBFA, SemiPar.depCens, sgee, SubTS, surrosurv, survivalMPLdc, svars, tailDepFun, TempStable, WINS, zipfextR
Reverse suggests: copBasic, docopulae, ffp, intcensROC, kyotil, nor1mix, npcp, qrmtools, qrng, RDM, rlcv, robustrank, rsurv, simcausal, SimDesign, simsalapar, simsem, Surrogate, univariateML, wdm, zenplots
Reverse enhances: copulaData


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