Martin Lysy, Jonathan Ramkissoon
Provides functions for density evaluation and both joint and conditional random sampling from a Gaussian Copula distribution with arbitrary margins. This is achieved by storing univariate marginal distributions as extended density (xDensity
) objects which provide d/p/q/r
methods, and which can be estimated from data using a variety of parametric, nonparametric, and semiparametric approaches.
Install the R package devtools and run
devtools::install_github("mlysy/GaussCop")
An overview of the GaussCop::xDensity
class and other package utilities is provided in the package vignette.
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