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) .


Reference manual

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0.2.0 by Alexis Derumigny, 2 months ago

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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, pbapply

Suggests knitr, rmarkdown

See at CRAN