README.md
In mlysy/GaussCop: Utilities for the Gaussian Copula Distribution
GaussCop: Utilities for the Gaussian Copula Distribution
Martin Lysy, Jonathan Ramkissoon
Description
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.
Installation
Install the R package devtools and run
devtools::install_github("mlysy/GaussCop")
Usage
An overview of the GaussCop::xDensity class and other package utilities is provided in the package vignette.
mlysy/GaussCop documentation built on Nov. 6, 2019, 6:19 p.m.
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GaussCop: Utilities for the Gaussian Copula Distribution
Martin Lysy, Jonathan Ramkissoon
Description
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.
Installation
Install the R package devtools and run
devtools::install_github("mlysy/GaussCop")
Usage
An overview of the GaussCop::xDensity class and other package utilities is provided in the package vignette.
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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