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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>), 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>), and measures of non-simplifyingness (proposed in Derumigny (2025) <doi:10.48550/arXiv.2504.07704>).
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Package details |
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| Author | Alexis Derumigny [aut, cre] (ORCID: <https://orcid.org/0000-0002-6163-8097>), Jean-David Fermanian [ctb, ths] (ORCID: <https://orcid.org/0000-0001-5960-5555>), Aleksey Min [ctb] (ORCID: <https://orcid.org/0000-0001-6928-4556>), Rutger van der Spek [ctb] |
| Maintainer | Alexis Derumigny <a.f.f.derumigny@tudelft.nl> |
| License | GPL-3 |
| Version | 0.2.0 |
| URL | https://github.com/AlexisDerumigny/CondCopulas |
| Package repository | View on CRAN |
| Installation |
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