subrank: Computes Copula using Ranks and Subsampling
Version 0.9.7

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.

Package details

AuthorJerome Collet
Date of publication2016-04-01 10:13:27
MaintainerJerome Collet <[email protected]>
LicenseGPL (>= 3)
Package repositoryView on CRAN
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subrank documentation built on May 29, 2017, 3:26 p.m.