# [R] Copula calculation in R?

Ken Knoblauch knoblauch at lyon.inserm.fr
Wed Nov 19 10:16:23 CET 2003

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:
> > 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
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>
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>

--
Ken Knoblauch
Inserm U371
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email: knoblauch at lyon.inserm.fr

`