Package: MMDCopula 0.2.1

MMDCopula: Robust Estimation of Copulas by Maximum Mean Discrepancy

Provides functions for the robust estimation of parametric families of copulas using minimization of the Maximum Mean Discrepancy, following the article Alquier, Chérief-Abdellatif, Derumigny and Fermanian (2022) <doi:10.1080/01621459.2021.2024836>.

Authors:Alexis Derumigny [aut, cre], Pierre Alquier [aut], Jean-David Fermanian [aut], Badr-Eddine Chérief-Abdellatif [aut]

MMDCopula_0.2.1.tar.gz
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MMDCopula_0.2.1.tgz(r-4.5-any)MMDCopula_0.2.1.tgz(r-4.4-any)MMDCopula_0.2.1.tgz(r-4.3-any)
MMDCopula_0.2.1.tar.gz(r-4.5-noble)MMDCopula_0.2.1.tar.gz(r-4.4-noble)
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MMDCopula.pdf |MMDCopula.html✨
MMDCopula/json (API)
NEWS

# Install 'MMDCopula' in R:
install.packages('MMDCopula', repos = c('https://alexisderumigny.r-universe.dev', 'https://cloud.r-project.org'))

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

On CRAN:

Conda:

copula-modelscopulasmmdr-pkg

4.40 score 5 stars 3 scripts 214 downloads 8 exports 11 dependencies

Last updated 3 years agofrom:a2b46db3bc. Checks:9 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKMar 11 2025
R-4.5-winOKMar 11 2025
R-4.5-macOKMar 11 2025
R-4.5-linuxOKMar 11 2025
R-4.4-winOKMar 11 2025
R-4.4-macOKMar 11 2025
R-4.4-linuxOKMar 11 2025
R-4.3-winOKMar 11 2025
R-4.3-macOKMar 11 2025

Exports:BiCopConfIntMMDBiCopEst.MOBiCopEstMMDBiCopGradMMDBiCopPar2Tau.MOBiCopParamDistLpBiCopSim.MOBiCopTau2Par.MO

Dependencies:ADGofTestcubaturelatticeMASSmvtnormpbapplyrandtoolboxRcpprngWELLVineCopulawdm

The MMD copula package: robust estimation of parametric copula models by MMD minimization

Rendered fromintroduction.Rmdusingknitr::rmarkdownon Mar 11 2025.

Last update: 2021-08-09
Started: 2020-10-01