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-4.4-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'))

Peer review:

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

On CRAN:

copula-modelscopulasmmdr-pkg

8 exports 5 stars 1.10 score 11 dependencies 3 scripts 242 downloads

Last updated 2 years agofrom:a2b46db3bc. Checks:OK: 7. Indexed: yes.

TargetResultDate
Doc / VignettesOKSep 12 2024
R-4.5-winOKSep 12 2024
R-4.5-linuxOKSep 12 2024
R-4.4-winOKSep 12 2024
R-4.4-macOKSep 12 2024
R-4.3-winOKSep 12 2024
R-4.3-macOKSep 12 2024

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 Sep 12 2024.

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