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 language | English |
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Publisher | CRAN |
Publication status | Published - 13 Oct 2020 |
Keywords
- robust estimation
- parametric copula model
- dependence modeling
- maximum mean discrepancy