Hello Anyone that now of any function in R that can calculate copulas? Or if anyone have any code avaible I would be more than interested. Thank you in advance /Thomas ______________________________________________ R-help at stat.math.ethz.ch mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help
I'm sorry for my accidental reply
(which was caused by the fact that you were lazy and did
reply to an *existing* r-help posting and changed the subject
instead of writing a new e-mail -- this destroys all threading
("sort+indent according to one topic") in the archives and many
people's mail readers
)
>> Hello
>> Anyone that now of any function in R that can calculate copulas?
>> Or if anyone have any code avaible I would be more than interested.
>> Thank you in advance
>> /Thomas
Now to the answer: There is some S-plus code around here at ETH
that I could get. Please inquire privately if there isn't a
better answer here.
Regards,
Martin Maechler <maechler at stat.math.ethz.ch>
http://stat.ethz.ch/~maechler/
Seminar fuer Statistik, ETH-Zentrum LEO C16 Leonhardstr. 27
ETH (Federal Inst. Technology) 8092 Zurich SWITZERLAND
phone: x-41-1-632-3408 fax: ...-1228 <><
For a more detailed answer try the American Statistician: Title: The joy of copulas: Bivariate distributions with uniform marginals (Com: 87V41 p248) Author(s): Genest, Christian;MacKay, Jock; Keywords: [Teacher's Corner];Frechet bound;Kendall $\tau$;Singular distribution function;Kendall tau Year: 86 Volume: 40 Page(s): 280- 283 J Any paper with a title like that just has to be worth reading.> -----Original Message----- > From: Thomas Lumley [mailto:tlumley at u.washington.edu] > Sent: 18 November 2003 21:02 > To: kjetil at entelnet.bo > Cc: r-help at stat.math.ethz.ch > Subject: Re: [R] Copula calculation in R? > > > Security Warning: > If you are not sure an attachment is safe to open please contact > Andy on x234. There are 0 attachments with this message. > ________________________________________________________________ > > On Tue, 18 Nov 2003 kjetil at entelnet.bo wrote: > > > On 18 Nov 2003 at 11:26, Thomas Holm wrote: > > > > What is copulas? > > After you rescale a bivariate distribution to have specified marginal > distributions the copula is what's left. > > -thomas > > > > > Kjetil Halvorsen > > > > > Hello > > > > > > Anyone that now of any function in R that can calculate copulas? > > > Or if anyone have any code avaible I would be more than > interested. > > > > > > Thank you in advance > > > > > > /Thomas > > > > > > ______________________________________________ > > > R-help at stat.math.ethz.ch mailing list > > > https://www.stat.math.ethz.ch/mailman/listinfo/r-help > > > > ______________________________________________ > > R-help at stat.math.ethz.ch mailing list > > https://www.stat.math.ethz.ch/mailman/listinfo/r-help > > > > Thomas Lumley Assoc. Professor, Biostatistics > tlumley at u.washington.edu University of Washington, Seattle > > ______________________________________________ > R-help at stat.math.ethz.ch mailing list > https://www.stat.math.ethz.ch/mailman/listinfo/r-help >Simon Fear Senior Statistician Syne qua non Ltd Tel: +44 (0) 1379 644449 Fax: +44 (0) 1379 644445 email: Simon.Fear at synequanon.com web: http://www.synequanon.com Number of attachments included with this message: 0 This message (and any associated files) is confidential and\...{{dropped}}
In Jim Lindsey's repeated package,
`gausscop' Multivariate Gaussian Copula with Arbitrary
Marginals
kk
Quoting Simon Fear <Simon.Fear at synequanon.com>:
> For a more detailed answer try the American Statistician:
>
> Title: The joy of copulas: Bivariate distributions with uniform marginals
> (Com: 87V41 p248)
> Author(s): Genest, Christian;MacKay, Jock;
> Keywords: [Teacher's Corner];Frechet bound;Kendall $\tau$;Singular
> distribution function;Kendall tau
> Year: 86 Volume: 40 Page(s): 280- 283 J
>
> Any paper with a title like that just has to be worth reading.
>
>
> > -----Original Message-----
> > From: Thomas Lumley [mailto:tlumley at u.washington.edu]
> > Sent: 18 November 2003 21:02
> > To: kjetil at entelnet.bo
> > Cc: r-help at stat.math.ethz.ch
> > Subject: Re: [R] Copula calculation in R?
> >
> >
> > Security Warning:
> > If you are not sure an attachment is safe to open please contact
> > Andy on x234. There are 0 attachments with this message.
> > ________________________________________________________________
> >
> > On Tue, 18 Nov 2003 kjetil at entelnet.bo wrote:
> >
> > > On 18 Nov 2003 at 11:26, Thomas Holm wrote:
> > >
> > > What is copulas?
> >
> > After you rescale a bivariate distribution to have specified marginal
> > distributions the copula is what's left.
> >
> > -thomas
> >
> > >
> > > Kjetil Halvorsen
> > >
> > > > Hello
> > > >
> > > > Anyone that now of any function in R that can calculate
copulas?
> > > > Or if anyone have any code avaible I would be more than
> > interested.
> > > >
> > > > Thank you in advance
> > > >
> > > > /Thomas
> > > >
> > > > ______________________________________________
> > > > R-help at stat.math.ethz.ch mailing list
> > > > https://www.stat.math.ethz.ch/mailman/listinfo/r-help
> > >
> > > ______________________________________________
> > > R-help at stat.math.ethz.ch mailing list
> > > https://www.stat.math.ethz.ch/mailman/listinfo/r-help
> > >
> >
> > Thomas Lumley Assoc. Professor, Biostatistics
> > tlumley at u.washington.edu University of Washington, Seattle
> >
> > ______________________________________________
> > R-help at stat.math.ethz.ch mailing list
> > https://www.stat.math.ethz.ch/mailman/listinfo/r-help
> >
>
> Simon Fear
> Senior Statistician
> Syne qua non Ltd
> Tel: +44 (0) 1379 644449
> Fax: +44 (0) 1379 644445
> email: Simon.Fear at synequanon.com
> web: http://www.synequanon.com
>
> Number of attachments included with this message: 0
>
> This message (and any associated files) is confidential and\...{{dropped}}
>
> ______________________________________________
> R-help at stat.math.ethz.ch mailing list
> https://www.stat.math.ethz.ch/mailman/listinfo/r-help
>
--
Ken Knoblauch
Inserm U371
Cerveau et Vision
18 avenue du Doyen Lepine
69675 Bron cedex
France
Tel: +33 (0)4 72 91 34 77
Fax: +33 (0)4 72 91 34 61
Portable: 06 84 10 64 10
email: knoblauch at lyon.inserm.fr