Elements of Copula Modeling with R

Welcome to the R copula book web page

In a nutshell, the aim of the book is to show how some of the main steps involved in the statistical modeling of continuous multivariate distributions using copulas can be carried out in the R statistical environment using, mostly, the R package copula.

The current stable version of the package can be found on CRAN and the latest development version can be found on R-Forge.

Disclaimer

Although the book addresses most of the practical issues arising from modeling multivariate data with copulas, it only covers a modest part of the field. In particular, important aspects such as dynamic copula models, vine copulas or the use of copulas for discontinuous data are not dealt with. This is partly due to a selection bias: Concepts that are not implemented in the R package copula are not part of the book. Many of these more specialized notions are, however, available in other R packages. For an up-to-date description of the functionalities of other packages dealing with copulas, see, for example, the CRAN View “Distributions”.

As the R statistical environment, and most free software, the R package copula comes with no warranty. It is distributed with the hope that it can be useful to others.