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>), 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>).

Package details

AuthorAlexis Derumigny [aut, cre] (<https://orcid.org/0000-0002-6163-8097>), Jean-David Fermanian [ctb, ths] (<https://orcid.org/0000-0001-5960-5555>), Aleksey Min [ctb] (<https://orcid.org/0000-0001-6928-4556>), Rutger van der Spek [ctb]
MaintainerAlexis Derumigny <a.f.f.derumigny@tudelft.nl>
LicenseGPL-3
Version0.1.3
URL https://github.com/AlexisDerumigny/CondCopulas
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("CondCopulas")

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CondCopulas documentation built on Sept. 26, 2023, 5:06 p.m.