Copulas.jl

Spec sheet

Purpose

Copulas.jl provides models for dependence structures of real random vectors, known as copulas.Read 12 Oct 2026 · lrnv.github.io

Intended users

The package is aimed at Julia users modeling dependence structures and multivariate distributions with copulas.Read 11 Oct 2026 · github.com

Deployment

desktopRead 23 Sep 2026 · lrnv.github.io

Free plan

YesRead 23 Sep 2026 · lrnv.github.io

Support

The GitHub README invites users to open an issue to ask a question, report a bug, or chat about the package.Read 12 Oct 2026 · github.com

License

The GitHub repository lists the package under the MIT license.Read 12 Oct 2026 · github.com

Additional interoperability

An optional extension connects Copulas.jl with PartitionedDistributions.jl for marginal and conditional distribution operations.Read 12 Oct 2026 · lrnv.github.io

Bayesian analysis

YesRead 23 Sep 2026 · lrnv.github.io

Compound distributions

Its SklarDist type constructs multivariate compound distributions from a copula and marginal distributions using Sklar’s theorem.Read 12 Oct 2026 · lrnv.github.io

Conditioning

Copulas and SklarDist models can be conditioned on points or intervals; discrete margins are handled as latent uniform intervals.Read 11 Oct 2026 · lrnv.github.io

Core features

The package supports random number generation, density and distribution function evaluation, fitting, copula based multivariate distributions, and dependence metrics.Read 12 Oct 2026 · lrnv.github.io

Dependence analysis

It provides dependence metrics, tail coefficients, and resampling-based hypothesis tests for dependence assumptions and goodness of fit.Read 11 Oct 2026 · github.com

Diagnostics

CopulaModel fitting supports diagnostics including covariance, confidence intervals, residuals, and information criteria.Read 11 Oct 2026 · github.com

Experimental status

The project’s GitHub README describes the work as fairly experimental and advises using it with caution.Read 12 Oct 2026 · github.com

Fit limitation

The documented Sklar fitting routes use sequential or rank-based methods and are not joint full maximum likelihood.Read 11 Oct 2026 · github.com

Fitting and selection

The package offers fitting procedures and automatic family selection using explicit candidate sets and information criteria.Read 11 Oct 2026 · github.com

Installation

The package is registered in Julia’s General registry and the site gives `] add Copulas` as the installation command.Read 12 Oct 2026 · lrnv.github.io

Integration

Copulas.jl follows the Distributions.jl API, supporting interoperability with packages based on that API such as Turing.jl.Read 11 Oct 2026 · github.com

Julia ecosystem

Copulas.jl follows the Distributions.jl API and the documentation describes interoperability with packages based on that API, including Turing.jl.Read 12 Oct 2026 · lrnv.github.io

Makers

The package citation names Oskar Laverny and Santiago Jimenez as its authors.Read 12 Oct 2026 · github.com

Model coverage

The feature comparison marks extreme value copulas and Archimax copulas as bivariate only, and Archimedean chains as unavailable in Copulas.jl.Read 12 Oct 2026 · github.com

Numeric types

The project describes its native Julia implementation as compatible with BigFloat, DoubleFloats, and MultiFloats.Read 12 Oct 2026 · lrnv.github.io

Performance

The project says efficiency and performance were not yet considered in its implementation priorities and that benchmarks would come later.Read 12 Oct 2026 · lrnv.github.io

Plotting

The documentation describes Plots.jl recipes for copula and SklarDist visualizations, including pairwise plots and bivariate density, log-density, or distribution contours.Read 12 Oct 2026 · lrnv.github.io

Sampling and evaluation

It supports random number generation and evaluation of log-density and distribution functions.Read 11 Oct 2026 · github.com

Scripting support

YesRead 23 Sep 2026 · lrnv.github.io

Sklar distributions

The SklarDist type builds multivariate distributions by combining a copula with marginal distributions.Read 11 Oct 2026 · lrnv.github.io

Statistical tests

YesRead 23 Sep 2026 · lrnv.github.io

Testing limitation

The documented copula hypothesis tests assume continuous margins and reject tied or discrete observations.Read 11 Oct 2026 · lrnv.github.io

Transforms

The package provides Rosenblatt and inverse Rosenblatt transforms for copulas and Sklar distributions.Read 11 Oct 2026 · github.com

Visualization

Plots.jl recipes provide pairwise plots, marginal overlays, and PDF, log-PDF, or CDF contours and surfaces.Read 11 Oct 2026 · lrnv.github.io

Where Specifiction places it

• Statistical Analysis Software#90 of 1067.1