This package implements the robust estimation procedure of copulas via maximum mean discrepancy (MMD), following the article Alquier, Chérief-Abdellatif, Derumigny, and Fermanian, J.D. (2022), Estimation of copulas via Maximum Mean Discrepancy. Journal of the American Statistical Association, doi:10.1080/01621459.2021.2024836.
How to install
The release version on CRAN:
install.packages("MMDCopula")The development version from GitHub:
# install.packages("remotes")
remotes::install_github("AlexisDerumigny/MMDCopula")Main functions
BiCopEstMMD: estimate the parameter of a parametric
bivariate copula by MMD minimization.
BiCopConfIntMMD: compute a bootstrap-based or
subsampling-based confidence interval for the parameter of a parametric
bivariate copula.
BiCopGradMMD: compute the gradient of the MMD
criteria. Used in BiCopEstMMD.
Functions for simulation and inference for the Marshall-Olkin copula
BiCopSim.MO: simulation of observations following a
Marshall-Olkin copula.
BiCopEst.MO: estimation of the parameter of a
Marshall-Olkin copula.
BiCopPar2Tau.MO and BiCopTau2Par.MO:
convert between the parameter and the Kendall’s tau of a Marshall-Olkin
copula.
Other functions
BiCopParamDistLp: compute the \(L^p\) distance between two parametric
copula models.