This package implements the robust estimation procedure of copulas via maximum mean discrepancy (MMD), following the article Alquier, Chérief-Abdellatif, Derumigny, and Fermanian, J.D. (2022), Estimation of copulas via Maximum Mean Discrepancy. Journal of the American Statistical Association, doi:10.1080/01621459.2021.2024836.
How to install
The release version on CRAN:
install.packages("MMDCopula")
The development version from GitHub:
# install.packages("remotes")
# remotes::install_github("AlexisDerumigny/MMDCopula")
install.packages("MMDCopula", repos = c('https://alexisderumigny.r-universe.dev', 'https://cloud.r-project.org'))
Main functions
BiCopEstMMD: estimate the parameter of a parametric bivariate copula by MMD minimization.
BiCopConfIntMMD: compute a bootstrap-based or subsampling-based confidence interval for the parameter of a parametric bivariate copula.
BiCopGradMMD: compute the gradient of the MMD criteria. Used in BiCopEstMMD.
Functions for simulation and inference for the Marshall-Olkin copula
BiCopSim.MO: simulation of observations following a Marshall-Olkin copula.
BiCopEst.MO: estimation of the parameter of a Marshall-Olkin copula.
BiCopPar2Tau.MO and BiCopTau2Par.MO: convert between the parameter and the Kendall's tau of a Marshall-Olkin copula.
Other functions
BiCopParamDistLp: compute the $L^p$ distance between two parametric copula models.