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>.
| Version: | 0.2.1 |
| Depends: | R (≥ 3.6.0) |
| Imports: | VineCopula, cubature, randtoolbox, pbapply, wdm |
| Suggests: | knitr, rmarkdown |
| Published: | 2022-04-25 |
| DOI: | 10.32614/CRAN.package.MMDCopula |
| Author: | Alexis Derumigny 
[aut, cre],
Pierre Alquier
[aut],
Jean-David Fermanian
[aut],
Badr-Eddine Chérief-Abdellatif [aut] |
| Maintainer: | Alexis Derumigny <a.f.f.derumigny at tudelft.nl> |
| BugReports: | https://github.com/AlexisDerumigny/MMDCopula/issues |
| License: | GPL-3 |
| NeedsCompilation: | no |
| Materials: | README NEWS |
| CRAN checks: | MMDCopula results |
Documentation:
| Reference manual: | MMDCopula.pdf |
| Vignettes: |
The MMD copula package: robust estimation of parametric copula models by MMD minimization |
Downloads:
| Package source: | MMDCopula_0.2.1.tar.gz |
| Windows binaries: | r-devel: MMDCopula_0.2.1.zip, r-release: MMDCopula_0.2.1.zip, r-oldrel: MMDCopula_0.2.1.zip |
| macOS binaries: | r-release (arm64): MMDCopula_0.2.1.tgz, r-oldrel (arm64): MMDCopula_0.2.1.tgz, r-release (x86_64): MMDCopula_0.2.1.tgz, r-oldrel (x86_64): MMDCopula_0.2.1.tgz |
| Old sources: | MMDCopula archive |
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