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
MMDCopula_0.2.1.zip(r-4.5)MMDCopula_0.2.1.zip(r-4.4)MMDCopula_0.2.1.zip(r-4.3)
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)
MMDCopula_0.2.1.tgz(r-4.4-emscripten)MMDCopula_0.2.1.tgz(r-4.3-emscripten)
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

4.40 score 5 stars 3 scripts 190 downloads 8 exports 11 dependencies

Last updated 3 years agofrom:a2b46db3bc. Checks:OK: 7. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 11 2024
R-4.5-winOKNov 11 2024
R-4.5-linuxOKNov 11 2024
R-4.4-winOKNov 11 2024
R-4.4-macOKNov 11 2024
R-4.3-winOKNov 11 2024
R-4.3-macOKNov 11 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 Nov 11 2024.

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