Package: ElliptCopulas 0.1.4.1

ElliptCopulas: Inference of Elliptical Distributions and Copulas

Provides functions for the simulation and the nonparametric estimation of elliptical distributions, meta-elliptical copulas and trans-elliptical distributions, following the article Derumigny and Fermanian (2022) <doi:10.1016/j.jmva.2022.104962>.

Authors:Alexis Derumigny [aut, cre], Jean-David Fermanian [aut], Victor Ryan [aut], Rutger van der Spek [ctb]

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ElliptCopulas.pdf |ElliptCopulas.html✨
ElliptCopulas/json (API)
NEWS

# Install 'ElliptCopulas' in R:

install.packages('ElliptCopulas', repos = c('https://alexisderumigny.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/alexisderumigny/elliptcopulas/issues

On CRAN:

copula elliptical-copula elliptical-distribution r-pkg

3.90 score 4 stars 2 scripts 296 downloads 24 exports 7 dependencies

Last updated 2 months agofrom:749d52e159. Checks:OK: 7. Indexed: yes.

Target	Result	Date
Doc / Vignettes	OK	Nov 10 2024
R-4.5-win	OK	Nov 10 2024
R-4.5-linux	OK	Nov 10 2024
R-4.4-win	OK	Nov 10 2024
R-4.4-mac	OK	Nov 10 2024
R-4.3-win	OK	Nov 10 2024
R-4.3-mac	OK	Nov 10 2024

Exports:compute_etahat compute_matrix_alpha Convert_g1_To_f1 Convert_g1_To_Fg1 Convert_g1_To_Qg1 Convert_gd_To_fR2 Convert_gd_To_g1 DensityGenerator.check DensityGenerator.normalize derivative.psi derivative.rho derivative.tau EllCopEst EllCopLikelihood EllCopSim EllDistrDerivEst EllDistrEst EllDistrEst.adapt EllDistrSim EllDistrSimCond estim_tilde_AMSE KTMatrixEst TEllDistrEst vectorized_Faa_di_Bruno

Dependencies:kStatistics lattice Matrix pbapply Rcpp Runuran wdm

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
Conversion Functions for Elliptical Distributions	Convert_g1_To_f1 Convert_g1_To_Fg1 Convert_g1_To_Qg1 Convert_gd_To_fR2 Convert_gd_To_g1 conv_funct
Normalization of an elliptical copula generator	DensityGenerator.check DensityGenerator.normalize
Estimate the density generator of a (meta-)elliptical copula	EllCopEst
Computation of the likelihood of an elliptical copula	EllCopLikelihood
Simulation from an elliptical copula model	EllCopSim
Estimate the derivatives of a generator	EllDistrDerivEst
Nonparametric estimation of the density generator of an elliptical distribution	EllDistrEst
Estimation of the generator of the elliptical distribution by kernel smoothing with adaptive choice of the bandwidth	EllDistrEst.adapt
Simulation of elliptically symmetric random vectors	EllDistrSim
Simulation of elliptically symmetric random vectors conditionally to some observed part.	EllDistrSimCond
Estimate the part of the AMSE of the elliptical density generator that only depends on the parameter "a" assuming h has been optimally chosen	estim_tilde_AMSE
Fast estimation of Kendall's tau matrix	KTMatrixEst
Estimation of trans-elliptical distributions	TEllDistrEst
Vectorized version of Faa di Bruno formula	vectorized_Faa_di_Bruno