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MMDCopula: Robust Estimation of Copulas by Maximum Mean Discrepancy

Name: MMDCopula: Robust Estimation of Copulas by Maximum Mean Discrepancy
Creator: Derumigny, Alexis Francisco Floreal
Keywords: maximum mean discrepancy, dependence modeling, parametric copula model, robust estimation

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Authors: Derumigny, Alexis Francisco Floreal;

MMDCopula: Robust Estimation of Copulas by Maximum Mean Discrepancy

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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>.

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Netherlands

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University of Twente
Netherlands

Keywords

maximum mean discrepancy, dependence modeling, parametric copula model, robust estimation

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