Robust Estimation of Copulas by Maximum Mean Discrepancy

Provides functions for the robust estimation of parametric families of copulas using minimization of the Maximum Mean Discrepancy, following the article Alquier, Chérief-Abdellatif, Derumigny and Fermanian (2020) .


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Reference manual

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install.packages("MMDCopula")

0.1.0 by Alexis Derumigny, 6 days ago


Report a bug at https://github.com/AlexisDerumigny/MMDCopula/issues


Browse source code at https://github.com/cran/MMDCopula


Authors: Alexis Derumigny [aut, cre] , Pierre Alquier [aut] , Jean-David Fermanian [aut] , Badr-Eddine Chérief-Abdellatif [aut]


Documentation:   PDF Manual  


GPL-3 license


Imports VineCopula, cubature, pcaPP, randtoolbox

Suggests knitr, rmarkdown


See at CRAN