[R] Copula as measure of correlation

[Gregor.gawron@rmf.ch]

-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch
[mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Sean Creighton
Sent: Dienstag, 8. Februar 2005 15:04
To: r-help at stat.math.ethz.ch
Subject: [R] Copula as measure of correlation



Hello

   Has anybody implemented a copula correlation in R in order to
correlate 
between two non-normally distributed time series.

  Thanks

    Sean


Sean,
Ken Knoblauch once gave the follwing answer to a similar question:

In Jim Lindsey's repeated package, 

`gausscop'        Multivariate Gaussian Copula with Arbitrary  Marginals

Gregor

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