Package ElliptCopulas

This package implements several functions for the estimation of meta-elliptical copulas and for the estimation of elliptical and trans-elliptical distributions:

How to install

The release version on CRAN:


The development version from GitHub:

# install.packages("remotes")

Main functions of the package

Inference of Elliptical Distributions

Inference of (Meta-)Elliptical Copulas

Inference of Trans-Elliptical Distributions

Numerical analysis


Derumigny, A., & Fermanian, J. D. (2022). Identifiability and estimation of meta-elliptical copula generators. Journal of Multivariate Analysis, article 104962. doi:10.1016/j.jmva.2022.104962, arXiv:2106.12367.

Liebscher, E. (2005). A semiparametric density estimator based on elliptical distributions. Journal of Multivariate Analysis, 92, 205–225. doi:10.1016/j.jmva.2003.09.007