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 (2020) <arXiv:2010.00408>.

Package details

AuthorAlexis 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]
MaintainerAlexis Derumigny <a.f.f.derumigny@tudelft.nl>
LicenseGPL-3
Version0.2.0
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("MMDCopula")

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MMDCopula documentation built on Aug. 10, 2021, 9:07 a.m.