CRAN/E | CondCopulas

CondCopulas

Estimation and Inference for Conditional Copula Models

Installation

About

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).

github.com/AlexisDerumigny/CondCopulas
Bug report File report

Key Metrics

Version 0.1.3
Published 2023-09-26 202 days ago
Needs compilation? no
License GPL-3
CRAN checks CondCopulas results

Downloads

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Last 7 days 32 -52%
Last 30 days 218 -4%
Last 90 days 889 +23%
Last 365 days 2.902 +6%

Maintainer

Maintainer

Alexis Derumigny

a.f.f.derumigny@tudelft.nl

Authors

Alexis Derumigny

aut / cre

Jean-David Fermanian

ctb / ths

Aleksey Min

ctb

Rutger van der Spek

ctb

Material

README
NEWS
Reference manual
Package source

Vignettes

Simulation and estimation from conditional copula models

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

CondCopulas archive

Imports

VineCopula
pbapply
glmnet
ordinalNet
tree
nnet
data.tree
statmod
wdm

Suggests

MASS
knitr
rmarkdown
ggplot2
mvtnorm