Package: CondCopulas 0.1.4.1
CondCopulas: Estimation and Inference for Conditional Copula Models
Provides functions for the estimation of conditional copulas models, various estimators of conditional Kendall's tau (proposed in Derumigny and Fermanian (2019a, 2019b, 2020) <doi:10.1515/demo-2019-0016>, <doi:10.1016/j.csda.2019.01.013>, <doi:10.1016/j.jmva.2020.104610>), and test procedures for the simplifying assumption (proposed in Derumigny and Fermanian (2017) <doi:10.1515/demo-2017-0011> and Derumigny, Fermanian and Min (2022) <doi:10.1002/cjs.11742>).
Authors:
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CondCopulas.pdf |CondCopulas.html✨
CondCopulas/json (API)
NEWS
# Install 'CondCopulas' in R: |
install.packages('CondCopulas', repos = c('https://alexisderumigny.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/alexisderumigny/condcopulas/issues
conditional-copulasconditional-kendalls-taucopulasr-pkgsimplifying-assumption
Last updated 3 months agofrom:d9da4c67f8. Checks:OK: 7. Indexed: yes.
Target | Result | Date |
---|---|---|
Doc / Vignettes | OK | Nov 05 2024 |
R-4.5-win | OK | Nov 05 2024 |
R-4.5-linux | OK | Nov 05 2024 |
R-4.4-win | OK | Nov 05 2024 |
R-4.4-mac | OK | Nov 05 2024 |
R-4.3-win | OK | Nov 05 2024 |
R-4.3-mac | OK | Nov 05 2024 |
Exports:bCond.estParamCopulabCond.pobsbCond.simpA.CKTbCond.simpA.parambCond.treeCKTCKT.estimateCKT.fit.GLMCKT.fit.nNetsCKT.fit.randomForestCKT.fit.treeCKT.hCV.KfoldsCKT.hCV.l1outCKT.kendallReg.fitCKT.KendallReg.LambdaCVCKT.kendallReg.predictCKT.kernelCKT.predict.GLMCKT.predict.kNNCKT.predict.nNetsCKT.predict.randomForestCKT.predict.treeCKTmatrix.kernelcomputeKernelMatrixcomputeMatrixSignPairsdatasetPairsestimateCondCDF_matrixestimateCondCDF_vecestimateCondQuantilesestimateNPCondCopulaestimateParCondCopulaestimateParCondCopula_ZIJmatrixInd2matrixCKTsimpA.kendallRegsimpA.NPsimpA.paramtreeCKT2matrixCKTtreeCKT2matrixInd
Dependencies:ADGofTestcodetoolsdata.treeforeachglmnetiteratorslatticeMASSMatrixmvtnormnnetordinalNetpbapplyR6RcppRcppEigenshapestatmodstringisurvivaltreeVineCopulawdm