MMDCopula: Robust Estimation of Copulas by Maximum Mean Discrepancy

Alexis Derumigny*, Pierre Alquier, Jean-David Fermanian, Badr-Eddine Chérief-Abdellatif

*Corresponding author for this work

Research output: Non-textual formSoftwareAcademic

Abstract

MMDCopula is a software package for the R Statistical Environment that 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>.
Original languageEnglish
PublisherCRAN
Publication statusPublished - 13 Oct 2020

Keywords

  • robust estimation
  • parametric copula model
  • dependence modeling
  • maximum mean discrepancy

Fingerprint Dive into the research topics of 'MMDCopula: Robust Estimation of Copulas by Maximum Mean Discrepancy'. Together they form a unique fingerprint.

Cite this