subrank: Computes Copula using Ranks and Subsampling

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.

AuthorJerome Collet
Date of publication2016-04-01 10:13:27
MaintainerJerome Collet <jeromepcollet@gmail.com>
LicenseGPL (>= 3)
Version0.9.7

View on CRAN

Files

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

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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