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.
You can install the released version of VC2copula from CRAN with
install.packages("VC2copula")
and the development version with
devtools::install_github("tnagler/VC2copula")
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.
cop <- BB1Copula(c(1, 1.5))
dCopula(c(0.5, 0.5), cop)
plot(rCopula(500, cop))
"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"
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))
For a full overview of functions and classes, see the package website.