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mmdcopula

Robust Estimation of Copulas by Maximum Mean Discrepancy

https://github.com/alexisderumigny/mmdcopula

Science Score: 13.0%

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    Found 3 DOI reference(s) in README
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Keywords

copula-models copulas mmd r-package r-pkg
Last synced: 6 months ago · JSON representation

Repository

Robust Estimation of Copulas by Maximum Mean Discrepancy

Basic Info
  • Host: GitHub
  • Owner: AlexisDerumigny
  • Language: R
  • Default Branch: main
  • Homepage:
  • Size: 158 KB
Statistics
  • Stars: 5
  • Watchers: 1
  • Forks: 0
  • Open Issues: 0
  • Releases: 0
Topics
copula-models copulas mmd r-package r-pkg
Created over 5 years ago · Last pushed almost 4 years ago
Metadata Files
Readme

README.md

Package MMDCopula

This package implements the robust estimation procedure of copulas via maximum mean discrepancy (MMD), following the article Alquier, Chérief-Abdellatif, Derumigny, and Fermanian, J.D. (2022), Estimation of copulas via Maximum Mean Discrepancy. Journal of the American Statistical Association, doi:10.1080/01621459.2021.2024836.

How to install

The release version on CRAN:

r install.packages("MMDCopula")

The development version from GitHub:

```r

install.packages("remotes")

remotes::install_github("AlexisDerumigny/MMDCopula") ```

Main functions

  • BiCopEstMMD: estimate the parameter of a parametric bivariate copula by MMD minimization.

  • BiCopConfIntMMD: compute a bootstrap-based or subsampling-based confidence interval for the parameter of a parametric bivariate copula.

  • BiCopGradMMD: compute the gradient of the MMD criteria. Used in BiCopEstMMD.

Functions for simulation and inference for the Marshall-Olkin copula

  • BiCopSim.MO: simulation of observations following a Marshall-Olkin copula.

  • BiCopEst.MO: estimation of the parameter of a Marshall-Olkin copula.

  • BiCopPar2Tau.MO and BiCopTau2Par.MO: convert between the parameter and the Kendall's tau of a Marshall-Olkin copula.

Other functions

  • BiCopParamDistLp: compute the $L^p$ distance between two parametric copula models.

Owner

  • Login: AlexisDerumigny
  • Kind: user

GitHub Events

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Last synced: over 2 years ago

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  • Total Commits: 24
  • Total Committers: 1
  • Avg Commits per committer: 24.0
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AlexisDerumigny A****y 24

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Last synced: 6 months ago

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Packages

  • Total packages: 1
  • Total downloads:
    • cran 243 last-month
  • Total dependent packages: 0
  • Total dependent repositories: 0
  • Total versions: 3
  • Total maintainers: 1
cran.r-project.org: MMDCopula

Robust Estimation of Copulas by Maximum Mean Discrepancy

  • Versions: 3
  • Dependent Packages: 0
  • Dependent Repositories: 0
  • Downloads: 243 Last month
Rankings
Stargazers count: 24.2%
Forks count: 28.8%
Dependent packages count: 29.8%
Dependent repos count: 35.5%
Average: 38.0%
Downloads: 71.8%
Maintainers (1)
a.f.f.derumigny@tudelft.nl
Last synced: 6 months ago

Dependencies

DESCRIPTION cran
  • R >= 3.6.0 depends
  • VineCopula * imports
  • cubature * imports
  • pbapply * imports
  • randtoolbox * imports
  • wdm * imports
  • knitr * suggests
  • rmarkdown * suggests