subrank: Computes Copula using Ranks and Subsampling

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Estimation of copula using ranks and subsampling. The main feature of this method is that simulation studies show a low sensitivity to dimension, on realistic cases. Vignette provides some theoretical documentation.

Author
Jerome Collet
Date of publication
2016-04-01 10:13:27
Maintainer
Jerome Collet <jeromepcollet@gmail.com>
License
GPL (>= 3)
Version
0.9.7

View on CRAN

Man pages

corc
Function to estimate copula using ranks and sub-sampling
corc0
Function to estimate copula using ranks and sub-sampling,...
desscop
Discrete copula graph, a two-dimensional projection
desscoptous
Discrete copula graph, ALL two-dimensional projections
estimdep
Dependence estimation
predictdep
Probability forecasting
predonfly
Probability forecasting
simany
Test statistic distribution under any hypothesis
simnul
Test statistic distribution under independence hypothesis
subrank-package
Package to estimate copula using ranks and sub-sampling

Files in this package

subrank
subrank/inst
subrank/inst/doc
subrank/inst/doc/VignetteSubrank.pdf
subrank/inst/doc/VignetteSubrank.Rnw
subrank/src
subrank/src/lienR.c
subrank/src/Makevars
subrank/src/rk_isaac.h
subrank/src/randomkit.h
subrank/src/rk_sobol.c
subrank/src/rk_primitive.c
subrank/src/Tir.c
subrank/src/rk_mt.c
subrank/src/rk_mt.h
subrank/src/copc.c
subrank/src/Tir.h
subrank/src/copc.h
subrank/src/lienR.h
subrank/src/rk_primitive.h
subrank/src/rk_isaac.c
subrank/src/rk_sobol.h
subrank/NAMESPACE
subrank/R
subrank/R/simnul.R
subrank/R/corc.R
subrank/R/corc0.R
subrank/R/desscop.R
subrank/R/predictdep.R
subrank/R/desscoptous.R
subrank/R/simany.R
subrank/R/estimdep.R
subrank/R/predonfly.R
subrank/R/distance.R
subrank/vignettes
subrank/vignettes/despowers.pdf
subrank/vignettes/bibcop.bib
subrank/vignettes/convEsp.pdf
subrank/vignettes/VignetteSubrank.Rnw
subrank/vignettes/zetapeE15.pdf
subrank/vignettes/convVar.pdf
subrank/vignettes/zetapeE6.pdf
subrank/vignettes/zbougepasE.pdf
subrank/vignettes/zetapeE3.pdf
subrank/vignettes/zetapeE9.pdf
subrank/vignettes/zetapeE12.pdf
subrank/MD5
subrank/build
subrank/build/vignette.rds
subrank/DESCRIPTION
subrank/man
subrank/man/predictdep.Rd
subrank/man/corc.Rd
subrank/man/desscop.Rd
subrank/man/estimdep.Rd
subrank/man/desscoptous.Rd
subrank/man/simnul.Rd
subrank/man/corc0.Rd
subrank/man/simany.Rd
subrank/man/subrank-package.Rd
subrank/man/predonfly.Rd