kdecopula: Kernel Smoothing for Bivariate Copula Densities

In tnagler/kdecopula: Kernel Smoothing for Bivariate Copula Densities

Description

This package provides fast implementations of kernel estimators for the copula density. Due to its several plotting options it is particularly useful for the exploratory analysis of dependence structures. It can be further used for flexible nonparametric estimation of copula densities and resampling.

Details

The function kdecop can be used to estimate a copula density with a number of popular kernel estimators. The density estimate can be evaluated on arbitrary points with dkdecop; the cdf with pkdecop. Furthermore, synthetic data can be simulated with rkdecop, and several plot options are provided by plot.kdecopula.

Author(s)

Thomas Nagler

References

Gijbels, I. and Mielniczuk, J. (1990). Estimating the density of a copula function. Communications in Statistics - Theory and Methods, 19(2):445-464.

Charpentier, A., Fermanian, J.-D., and Scaillet, O. (2006). The estimation of copulas: Theory and practice. In Rank, J., editor, Copulas: From theory to application in finance. Risk Books.

Geenens, G., Charpentier, A., and Paindaveine, D. (2017). Probit transformation for nonparametric kernel estimation of the copula density. Bernoulli, 23(3), 1848-1873.

Nagler, T. (2014). Kernel Methods for Vine Copula Estimation. Master's Thesis, Technische Universitaet Muenchen, https://mediatum.ub.tum.de/node?id=1231221

Wen, K. and Wu, X. (2015). Transformation-Kernel Estimation of the Copula Density, Working paper, http://agecon2.tamu.edu/people/faculty/wu-ximing/agecon2/public/copula.pdf

Examples

## load data and transform with empirical cdf
data(wdbc)
udat <- apply(wdbc[, -1], 2, function(x) rank(x)/(length(x)+1))

## estimation of copula density of variables 5 and 6
dens.est <- kdecop(udat[, 5:6])
plot(dens.est)

## evaluate density estimate at (u1,u2)=(0.123,0.321)
dkdecop(c(0.123, 0.321), dens.est)

## evaluate cdf estimate at (u1,u2)=(0.123,0.321)
pkdecop(c(0.123, 0.321), dens.est)

## simulate 500 samples from density estimate
rkdecop(500, dens.est)

tnagler/kdecopula documentation built on May 31, 2019, 4:43 p.m.