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Fits multivariate models in an R-vine pair copula construction framework, in such a way that the conditional copula can be easily evaluated. In addition, the package implements functionality to compute or approximate the conditional expectation via the conditional copula.
Package details |
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Author | Simon Boge Brant [aut, cre, cph], Ingrid Hobæk Haff [aut] |
Maintainer | Simon Boge Brant <simonbb@math.uio.no> |
License | MIT + file LICENCE |
Version | 0.1.0 |
Package repository | View on CRAN |
Installation |
Install the latest version of this package by entering the following in R:
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