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

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

Cite this

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title = "MMDCopula: Robust Estimation of Copulas by Maximum Mean Discrepancy",

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, Ch{\'e}rief-Abdellatif, Derumigny and Fermanian (2020) .",

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author = "Alexis Derumigny and Pierre Alquier and Jean-David Fermanian and Badr-Eddine Ch{\'e}rief-Abdellatif",

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AU - Derumigny, Alexis

AU - Alquier, Pierre

AU - Fermanian, Jean-David

AU - Chérief-Abdellatif, Badr-Eddine

N1 - R Package v.0.1.0.

PY - 2020/10/13

Y1 - 2020/10/13

N2 - 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) .

AB - 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) .

KW - robust estimation

KW - parametric copula model

KW - dependence modeling

KW - maximum mean discrepancy

M3 - Software

PB - CRAN

ER -

MMDCopula: Robust Estimation of Copulas by Maximum Mean Discrepancy

Abstract

Keywords

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Cite this