kcopula
Provides the K-copula introduced by Wollschläger and Schäfer (2016)
Science Score: 23.0%
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Repository
Provides the K-copula introduced by Wollschläger and Schäfer (2016)
Basic Info
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- Stars: 3
- Watchers: 3
- Forks: 0
- Open Issues: 0
- Releases: 0
Metadata Files
README.md
kcopula
Overview
kcopula provides the bivariate K-copula by Wollschläger and Schäfer (2016).
It provides two functions:
* pkcopula() gives the distribution function of the bivariate K-copula.
* dkcopula() gives the density of the bivariate K-copula.
Installation
Install release version from CRAN:
r
install.packages("kcopula")
Install development version from GitHub:
```r
install.packages("devtools")
devtools::install_github("mlkremer/kcopula") ```
Usage
This example plots the bivariate K-copula density and distribution function. ```r library(kcopula)
Parameters
b <- .05 # step size u <- seq(b, 1 - b, b) v <- u rho <- .2 N <- 4
K-copula CDF
pkcopula(.5, .5, rho, N)
Plot full K-copula CDF
kcopulacdf <- pkcopula(u, v, rho, N, output = "matrix") persp(u, v, kcopulacdf, zlim = c(0, 1), xlab = "\n\n u", ylab = "\n\n v", zlab = "\n\n CDF", theta = 30, phi = 30, ticktype = "detailed")
K-copula PDF
dkcopula(.5, .5, rho, N)
Plot full K-copula PDF
kcopulapdf <- dkcopula(u, v, rho, N, output = "matrix") persp(u, v, kcopulapdf, zlim = c(0, max(kcopula_pdf)), xlab = "\n\n u", ylab = "\n\n v", zlab = "\n\n PDF", theta = 30, phi = 30, ticktype = "detailed") ```
References
Wollschläger, M. and Schäfer, R. (2016). Impact of nonstationarity on estimating and modeling empirical copulas of daily stock returns. Journal of Risk, 19(1):1--23. https://doi.org/10.21314/JOR.2016.342. SSRN version: https://ssrn.com/abstract=3533903.
Chetalova, D., Wollschläger, M., and Schäfer, R. (2015). Dependence structure of market states. Journal of Statistical Mechanics: Theory and Experiment, 2015(8):P08012. https://doi.org/10.1088/1742-5468/2015/08/P08012. SSRN version: https://ssrn.com/abstract=3533951.
Owner
- Name: Marcel Kremer
- Login: mlkremer
- Kind: user
- Location: Essen, Germany
- Company: University of Duisburg-Essen
- Website: lef.wiwi.uni-due.de/en/team/ehemalige-mitarbeiter/marcel-kremer/
- Repositories: 2
- Profile: https://github.com/mlkremer
Postdoc in Mathematical Finance
GitHub Events
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- Total Commits: 1
- Total Committers: 1
- Avg Commits per committer: 1.0
- Development Distribution Score (DDS): 0.0
Top Committers
| Name | Commits | |
|---|---|---|
| mlkremer | m****r@u****e | 1 |
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Packages
- Total packages: 1
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Total downloads:
- cran 143 last-month
- Total dependent packages: 0
- Total dependent repositories: 0
- Total versions: 1
- Total maintainers: 1
cran.r-project.org: kcopula
The Bivariate K-Copula
- Homepage: https://github.com/mlkremer/kcopula
- Documentation: http://cran.r-project.org/web/packages/kcopula/kcopula.pdf
- License: GPL-3
- Status: removed
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Latest release: 0.1.0
published over 6 years ago
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Maintainers (1)
Dependencies
- R >= 3.6.0 depends
- pracma >= 2.2.9 imports