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>), and 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>).
Last updated 3 months ago
conditional-copulasconditional-kendalls-taucopulasr-pkgsimplifying-assumption
4.78 score 2 stars 7 scripts 246 downloadsMMDCopula - 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>.
Last updated 3 years ago
copula-modelscopulasmmdr-pkg
4.40 score 5 stars 3 scripts 190 downloadsElliptCopulas - 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>.
Last updated 2 months ago
copulaelliptical-copulaelliptical-distributionr-pkg
3.90 score 4 stars 2 scripts 296 downloadsBoundEdgeworth - 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>.
Last updated 3 months ago
edgeworth-expansionprobability-boundsr-pkg
3.30 score 1 stars 1 scripts 233 downloads