[R] Copula calculation in R?

[Simon Fear]

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?
> 
> 
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> ________________________________________________________________ 
>  
> 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
> > >
> > > ______________________________________________
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> >
> 
> Thomas Lumley			Assoc. Professor, Biostatistics
> tlumley at u.washington.edu	University of Washington, Seattle
> 
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>  
 
Simon Fear 
Senior Statistician 
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