Dependence Modeling with Copulas

This is the web site for the book:
Joe, H. (2014). Dependence Modeling with Copulas. Chapman & Hall/CRC. Published June/July 2014.
Details about at the book at the publisher's web page.


CopulaModel software

The companion software for the book is available from the link below. In addition to data analysis, the software can be used to learn about copulas by getting into the code and adapting it for particular applications. An additional reference for some of the functions in the software is Krupskii's PhD thesis.

Patches and additions will infrequently be made. The first patch is 2015.01.25 from the software web page.

The interface is R but much of the code is written in fortran90 or C for better speed and memory management, and also so that the algorithms are readable.

This software is distributed under the GPL-3 license.

Go to here for downloads and see below for installation instructions.
To minimize effects of scanners and robots, a login and password are needed. For login, use the initials of the title of the book (all upper case or all lower case). For password, use vinecop.

An earlier version of the software package was beta-tested and installed in Linux, MacOS and Windows. It has been used with versions R 2.9.0 and above. There is more documentation in the source files compared with the R help pages, so the source code is important to learn about copula modeling.

Binary versions of the R package are not being provided. Below are brief instructions on compiling the source for different platforms. Because of lack of resources, the software does not come with support. But in the future, this might exist.

Updated information for Windows and MacOS (June 1, 2016)

Below is further information from a user who installed CopulaModel on both Windows and MacOS.

Windows: building an R-package

MacOS: building an R-package

The following might work as an alternative to the command line instructions given below.

In R, type

install.packages(pkgs="$path/$tarfile", type="source", repos=NULL)
where $path is replaced with the location of the source file, and $tarfile is replaced with the gzipped tar source file.

Installation from the command line (briefest instructions)

The briefest instructions are the following but if these fail, re-read the sections above and below this one).

Installation from the command line (generic instructions)

Suppose the R package is called mypkg. After the source file is unpacked, go to the directory which has mypkg underneath it. Then
    R CMD INSTALL mypkg
should compile the package and install it (providing you have the Rtools above and the binary search path is set up correctly). For Unix systems (including MacOS), you might need superuser privileges. In Unix, to install in your own diskspace, suppose you have a directory ~/Rlib
    R CMD INSTALL --library=$HOME/Rlib mypkg
will work where $HOME is replaced by your home directory. Then to use, you need something like:

Special features of the software/code in CopulaModel are the following.

Style of code

  1. Algorithms are coded with minimal use of features of any specific programming language.
  2. Code is largely portable between R, C, Fortran90, Matlab ...
  3. Code currently has many templates, from which small modifications can be made for specific applications.

Numerical methods

Adding your own functions to the package (for personal use)