MMDCopula: Robust Estimation of Copulas by Maximum Mean Discrepancy

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

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

Mathematics of Operations Research

Research output: Non-textual form › Software › Academic

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
Publisher	CRAN
Publication status	Published - 13 Oct 2020

Keywords

robust estimation
parametric copula model
dependence modeling
maximum mean discrepancy

Access to Document

https://cran.r-project.org/package=MMDCopulaLicence: GNU GPL

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