Dependence modelling with copula in R
These codes are collected and gathered by H.A.Mohtashami-Borzadaran & N. Doodman with the supervision of Prof. M. Amini for the MSc course Copula Theory and Applications at Ferdowsi University of Mashhad, Iran. We hope these would be useful for others.
- Exploratory data analysis
- Univariate parametric fitting
- Univariate non-parametric fitting.
Online course in Persian
- Kendall plot
- Pearson correlation coefficient
- Spearman rank correlation coefficient
- Kendall’s Tau coefficient
- Existence of tail dependence
- Exchangeability of model
- State of radial symmetry
Online course in Persian
- Archimedean copulas
- Elliptical copulas
- Extreme-value copulas
- Frechet-Hoeffding copula
- Khoudraji copula
- FGM copula
- Rotation of copulas
- Mixture of copulas
Online course in Persian
- Parameter estimation
- Parameter estimation based on full model
- Goodness of fit tests
- Model selection
- Non-parametric methods
Online course in Persian
Some References
- Nelsen, R. B. (2007). An introduction to copulas. Springer Science & Business Media.
- Mai, J., & Scherer, M. (2014). Financial engineering with copulas explained. Springer.
- Joe, H. (2014). Dependence modeling with copulas. CRC press.
- Durante, F., & Sempi, C. (2015). Principles of copula theory. CRC press.
- Matthias, S., & Jan-frederik, M. (2017). Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications..
- Hofert, M., Kojadinovic, I., Mächler, M., & Yan, J. (2018). Elements of copula modeling with R. Springer.
Here you can find R-codes for this book.
- Czado, C. (2019). Analyzing Dependent Data with Vine Copulas. Lecture Notes in Statistics, Springer.
Here you can find R-codes for vine-copulas
Used R Packages