CMA: CMA: Copula-Marginal Algorithm
In Reckziegel/CMA: Copula Marginal Algorithm (CMA)
CMA R Documentation
CMA: Copula-Marginal Algorithm
Description
The Copula-Marginal Algorithm (CMA) provides tools to estimate
fully flexible copulas. CMA is a simple two-step algorithm that decomposes
a multivariate distribution between copulas and marginals (of any kind).
This flexibility follows from the fact that, unlike traditional approaches to
copulas, CMA does not require the explicit computation of marginal CDF and their
inverses. As a result, CMA can generate scenarios for many more copulas than the
few parametric families used in the traditional approach.
Reckziegel/CMA documentation built on July 13, 2022, 10:31 p.m.
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| CMA | R Documentation |
CMA: Copula-Marginal Algorithm
Description
The Copula-Marginal Algorithm (CMA) provides tools to estimate fully flexible copulas. CMA is a simple two-step algorithm that decomposes a multivariate distribution between copulas and marginals (of any kind). This flexibility follows from the fact that, unlike traditional approaches to copulas, CMA does not require the explicit computation of marginal CDF and their inverses. As a result, CMA can generate scenarios for many more copulas than the few parametric families used in the traditional approach.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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