CondCopulas - Estimation and Inference for Conditional Copula Models

Provides functions for the estimation of conditional copulas models, various estimators of conditional Kendall's tau (proposed in Derumigny and Fermanian (2019a, 2019b, 2020) <doi:10.1515/demo-2019-0016>, <doi:10.1016/j.csda.2019.01.013>, <doi:10.1016/j.jmva.2020.104610>), test procedures for the simplifying assumption (proposed in Derumigny and Fermanian (2017) <doi:10.1515/demo-2017-0011> and Derumigny, Fermanian and Min (2022) <doi:10.1002/cjs.11742>), and measures of non-simplifyingness (proposed in Derumigny (2025) <doi:10.48550/arXiv.2504.07704>).

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conditional-copulasconditional-kendalls-taucopulasr-pkgsimplifying-assumption

4.90 score 2 stars 7 scripts 244 downloads

PCBN - Inference of Pair-Copula Bayesian Networks

Creates, fits and samples Pair-Copula Bayesian Networks (PCBN) under some restrictions on the underlying Directed Acyclic Graph (DAG), that is, no active cycles nor interfering v-structures, following Derumigny, Horsman and Kurowicka (2025) <doi:10.48550/arXiv.2510.03518>.

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4.90 score 1 stars 3 scripts 160 downloads

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>.

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copula-modelscopulasmmdr-pkg

4.48 score 6 stars 3 scripts 211 downloads

ElliptCopulas - Inference of Elliptical Distributions and Copulas

Provides functions for the simulation and the nonparametric estimation of elliptical distributions, meta-elliptical copulas and trans-elliptical distributions, following the article Derumigny and Fermanian (2022) <doi:10.1016/j.jmva.2022.104962>.

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copulaelliptical-copulaelliptical-distributionr-pkg

4.26 score 4 stars 1 dependents 2 scripts 225 downloads

BootstrapTests - Bootstrap-Based Hypothesis Testing using Different Resampling Schemes

Perform bootstrap-based hypothesis testing procedures on three statistical problems. In particular, it covers independence testing, testing the slope in a linear regression setting, and goodness-of-fit testing, following (Derumigny, Galanis, Schipper and Van der Vaart, 2025) <doi:10.48550/arXiv.2512.10546>.

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4.15 score 2 stars 194 downloads

NAVAECI - Non-Asymptotically Valid and Asymptotically Exact (NAVAE) Confidence Intervals

Implements the non-asymptotically valid and asymptotically exact confidence intervals in two cases: estimation of the mean, and estimation of (a linear combination of) the coefficients in a linear regression model, following (Derumigny, Girard and Guyonvarch, 2025) <doi:10.48550/arXiv.2507.16776>.

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3.48 score 144 downloads

BoundEdgeworth - Bound on the Error of the First-Order Edgeworth Expansion

Computes uniform bounds on the distance between the cumulative distribution function of a standardized sum of random variables and its first-order Edgeworth expansion, following the article Derumigny, Girard, Guyonvarch (2023) <doi:10.1007/s13171-023-00320-y>.

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edgeworth-expansionprobability-boundsr-pkg

3.48 score 1 stars 1 dependents 4 scripts 242 downloads