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-4.7-any)MMDCopula_0.2.1.zip(r-4.6-any)MMDCopula_0.2.1.zip(r-4.5-any)
MMDCopula_0.2.1.tgz(r-4.6-any)MMDCopula_0.2.1.tgz(r-4.5-any)
MMDCopula_0.2.1.tar.gz(r-4.7-any)MMDCopula_0.2.1.tar.gz(r-4.6-any)
MMDCopula_0.2.1.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
MMDCopula/json (API)

# 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:

copula-models copulas mmd r-pkg

4.48 score 6 stars 5 scripts 262 downloads 8 exports 11 dependencies

Last updated from:a2b46db3bc. Checks:9 OK. Indexed: yes.

Target	Result	Time
linux-devel	OK	112
source / vignettes	OK	143
linux-release	OK	104
macos-release	OK	75
macos-oldrel	OK	118
windows-devel	OK	62
windows-release	OK	55
windows-oldrel	OK	63
wasm-release	OK	85

Exports:BiCopConfIntMMD BiCopEst.MO BiCopEstMMD BiCopGradMMD BiCopPar2Tau.MO BiCopParamDistLp BiCopSim.MO BiCopTau2Par.MO

Dependencies:ADGofTest cubature lattice MASS mvtnorm pbapply randtoolbox Rcpp rngWELL VineCopula wdm

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

Simulation of a synthetic dataset | Adding contamination | Constructing confidence intervals for the MMD estimator

Rendered fromintroduction.Rmdusingknitr::rmarkdown

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

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
Confidence intervals for the estimated parameter of a bivariate parametric copula using MMD estimation	BiCopConfIntMMD
Estimation of Marshall-Olkin copulas	BiCopEst.MO
Estimation of parametric bivariate copulas using stochastic gradient descent on the MMD criteria	BiCopEstMMD
Computation of the gradient of the MMD criterion for parametric bivariate copulas models	BiCopGradMMD
Convert between parameter and Kendall's tau for Marshall-Olkin copulas	BiCopPar2Tau.MO BiCopTau2Par.MO
Compute the distance between 2 parametric copulas	BiCopParamDistLp
Simulation of Marshall-Olkin copula	BiCopSim.MO