CRAN/E | MMDCopula

MMDCopula

Robust Estimation of Copulas by Maximum Mean Discrepancy

Installation

About

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.

Bug report File report

Key Metrics

Version 0.2.1
R ≥ 3.6.0
Published 2022-04-25 725 days ago
Needs compilation? no
License GPL-3
CRAN checks MMDCopula results

Downloads

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Last 30 days 168 -6%
Last 90 days 730 +42%
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Maintainer

Maintainer

Alexis Derumigny

a.f.f.derumigny@tudelft.nl

Authors

Alexis Derumigny

aut / cre

Pierre Alquier

aut

Jean-David Fermanian

aut

Badr-Eddine Chérief-Abdellatif

aut

Material

README
NEWS
Reference manual
Package source

Vignettes

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

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

MMDCopula archive

Depends

R ≥ 3.6.0

Imports

VineCopula
cubature
randtoolbox
pbapply
wdm

Suggests

knitr
rmarkdown