A large and complete library of Matlab codes for copula modeling & inference
J.-F. Quessy's Matlab webpage for copulas
Homepage
Basic copula tools
Lists of copula models
Rank procedures
Measuring dependence & asymmetry
Copula & density
Utilitary procedures
Datasets
Simulating copulas
Bivariate copulas
Multivariate copulas
Asymmetric Khoudraji copulas
Change-points
Gaussian copula time series
Spatial random fields
Parameter estimation
1-parameter models
2-parameters models
Likelihoods
Goodness-of-fit for copulas
Omnibus tests
Independence tests
Weighted Cf of PIT
Copula Cf
Specific to Chi-square
Specific to Elliptical
GoF tests for univariate laws
Symmetry & homogeneity
Exchangeability (Biv)
Exchangeability (Mult)
Radial symmetry (Biv)
Radial symmetry (Mult)
Copula homogeneity
Székely-Rizzo for homogeneity
Standard symmetry
Shape hypotheses
Meta-ellipticity
K-sample problem under dependence
S-concordance orderings
Model construction
Bimonotone mappings
Beta copula
Change-point analysis
Gradual changes in time series
Gradual Kendall's tau
Gradual Spearman matrix
Abrupt Kendall's tau
Lombard's graduate univariate
Publications since 2020
2024 StatSc
2024 AISM
2023 StatP
2023 JMVA
2022 SJS
2021 JMVA
2021 EJS
2021 StatP
Publications up to 2019
2019 StatP
2019 EcoStats
2018 SJS
2018 DepMod
2018 Env
2017 EJS
2016 EJS
2016 Sym
2012 CSDA
Basic copula tools
Lists of copula models
Rank procedures
Measuring dependence & asymmetry
Copula & density
Utilitary procedures
Datasets
Simulating copulas
Bivariate copulas
Multivariate copulas
Asymmetric Khoudraji copulas
Change-points
Gaussian copula time series
Spatial random fields
Parameter estimation
1-parameter models
2-parameters models
Likelihoods
Goodness-of-fit for copulas
Omnibus tests
Independence tests
Weighted Cf of PIT
Copula Cf
Specific to Chi-square
Specific to Elliptical
GoF tests for univariate laws
Symmetry & homogeneity
Exchangeability (Biv)
Exchangeability (Mult)
Radial symmetry (Biv)
Radial symmetry (Mult)
Copula homogeneity
Székely-Rizzo for homogeneity
Standard symmetry
Shape hypotheses
Meta-ellipticity
K-sample problem under dependence
S-concordance orderings
Model construction
Bimonotone mappings
Beta copula
Change-point analysis
Gradual changes in time series
Gradual Kendall's tau
Gradual Spearman matrix
Abrupt Kendall's tau
Lombard's graduate univariate
Publications since 2020
2024 StatSc
2024 AISM
2023 StatP
2023 JMVA
2022 SJS
2021 JMVA
2021 EJS
2021 StatP
Publications up to 2019
2019 StatP
2019 EcoStats
2018 SJS
2018 DepMod
2018 Env
2017 EJS
2016 EJS
2016 Sym
2012 CSDA