Robust Estimation of Copulas by Maximum Mean Discrepancy


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Documentation for package ‘MMDCopula’ version 0.2.1

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BiCopConfIntMMD Confidence intervals for the estimated parameter of a bivariate parametric copula using MMD estimation
BiCopEst.MO Estimation of Marshall-Olkin copulas
BiCopEstMMD Estimation of parametric bivariate copulas using stochastic gradient descent on the MMD criteria
BiCopGradMMD Computation of the gradient of the MMD criterion for parametric bivariate copulas models
BiCopPar2Tau.MO Convert between parameter and Kendall's tau for Marshall-Olkin copulas
BiCopParamDistLp Compute the distance between 2 parametric copulas
BiCopSim.MO Simulation of Marshall-Olkin copula
BiCopTau2Par.MO Convert between parameter and Kendall's tau for Marshall-Olkin copulas