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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>.
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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