MMDCopula: 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) <arXiv:2010.00408>.

Version: 0.2.0
Depends: R (≥ 3.6.0)
Imports: VineCopula, cubature, pcaPP, randtoolbox, pbapply
Suggests: knitr, rmarkdown
Published: 2021-08-10
Author: Alexis Derumigny ORCID iD [aut, cre], Pierre Alquier ORCID iD [aut], Jean-David Fermanian ORCID iD [aut], Badr-Eddine Chérief-Abdellatif [aut]
Maintainer: Alexis Derumigny <a.f.f.derumigny at tudelft.nl>
BugReports: https://github.com/AlexisDerumigny/MMDCopula/issues
License: GPL-3
NeedsCompilation: no
Materials: README NEWS
CRAN checks: MMDCopula results

Documentation:

Reference manual: MMDCopula.pdf
Vignettes: The MMD copula package: robust estimation of parametric copula models by MMD minimization

Downloads:

Package source: MMDCopula_0.2.0.tar.gz
Windows binaries: r-devel: MMDCopula_0.2.0.zip, r-release: MMDCopula_0.2.0.zip, r-oldrel: MMDCopula_0.2.0.zip
macOS binaries: r-release (arm64): MMDCopula_0.2.0.tgz, r-release (x86_64): MMDCopula_0.2.0.tgz, r-oldrel: MMDCopula_0.2.0.tgz
Old sources: MMDCopula archive

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