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

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  • Estimation of copulas via Maximum Mean Discrepancy

    Alquier, P., Chérief-Abdellatif, B.-E., Derumigny, A. & Fermanian, J.-D., 1 Oct 2020, (Unpublished).

    Research output: Working paper

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