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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>.
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Package details |
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| Author | Alexis Derumigny [aut, cre] (<https://orcid.org/0000-0002-6163-8097>), Pierre Alquier [aut] (<https://orcid.org/0000-0003-4249-7337>), Jean-David Fermanian [aut] (<https://orcid.org/0000-0001-5960-5555>), Badr-Eddine Chérief-Abdellatif [aut] |
| Maintainer | Alexis Derumigny <a.f.f.derumigny@tudelft.nl> |
| License | GPL-3 |
| Version | 0.2.1 |
| Package repository | View on CRAN |
| Installation |
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