cort: Some Empiric and Nonparametric Copula Models

Provides S4 classes and methods to fit several copula models: The classic empirical checkerboard copula and the empirical checkerboard copula with known margins, see Cuberos, Masiello and Maume-Deschamps (2019) <doi:10.1080/03610926.2019.1586936> are proposed. These two models allow to fit copulas in high dimension with a small number of observations, and they are always proper copulas. Some flexibility is added via a possibility to differentiate the checkerboard parameter by dimension. The last model consist of the implementation of the Copula Recursive Tree algorithm proposed by Laverny, Maume-Deschamps, Masiello and Rullière (2020) <arXiv:2005.02912>, including the localised dimension reduction, which fits a copula by recursive splitting of the copula domain. We also provide an efficient way of mixing copulas, allowing to bag the algorithm into a forest, and a generic way of measuring d-dimensional boxes with a copula.

Package details

AuthorOskar Laverny [aut, cre] (<>)
MaintainerOskar Laverny <>
LicenseMIT + file LICENSE
Package repositoryView on CRAN
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cort documentation built on Jan. 13, 2021, 8:57 p.m.