Rmetrics - Analysing and Modeling Multivariate Financial Return Distributions

Provides a collection of functions to manage, to investigate and to analyze bivariate and multivariate data sets of financial returns.


Package fMultivar provides functions which might be useful for the analysis and modeling of bivariate and multivariae financial return distributions.

2014 The contributed Package "SN" has essently improved over the years. Therefore we have removed the "SN" builtin functions for the density, probability, and random number generators. We recommend to call the functions directly from "SN".

  Thus also the functions from *mvnorm, *mvt, and *mvstnorm are
  obsolete, they will no longer be supported.

  Conveniance wrappers for "SN" parameter estimation have been 

2013 Contributed Package "cubature" offers an adaptive integration function. We recommend to use this, the former builtin function "adapt"" has become a wrapper for "cubature::adaptIntegrate.

  The compiled FORTRAN code provided in directory "src" is
  no longer required.

2012 We have added a NAMESPACE.

2007 The adapt Package has been removed from CRAN. A builtin function with licensed FORTRAN Code fom Professor Genz has been implemented to fill this gap.

2005 The fMultivar was uploaded to CRAN.

Reference manual

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3042.80 by Tobias Setz, 2 years ago


Browse source code at https://github.com/cran/fMultivar

Authors: Diethelm Wuertz [aut] , Tobias Setz [cre] , Yohan Chalabi [ctb]

Documentation:   PDF Manual  

Task views: Empirical Finance

GPL (>= 2) license

Imports cubature, mvtnorm, sn, methods, grDevices, graphics, stats

Depends on timeDate, timeSeries, fBasics

Suggests spatial, RUnit, tcltk, akima

Imported by BLCOP, fAssets.

Depended on by fCopulae.

See at CRAN