cort: Some Empiric and Nonparametric Copula Models
Provides S4 classes and methods to fit several copula models: The classic empirical checkerboard copula and the empirical checkerboard copula with known margins, see Cuberos, Masiello and Maume-Deschamps (2019) <doi:10.1080/03610926.2019.1586936> are proposed. These two models allow to fit copulas in high dimension with a small number of observations, and they are always proper copulas. Some flexibility is added via a possibility to differentiate the checkerboard parameter by dimension. The last model consist of the implementation of the Copula Recursive Tree algorithm proposed by Laverny, Maume-Deschamps, Masiello and Rullière (2020) <arXiv:2005.02912>, including the localised dimension reduction, which fits a copula by recursive splitting of the copula domain. We also provide an efficient way of mixing copulas, allowing to bag the algorithm into a forest, and a generic way of measuring d-dimensional boxes with a copula.
| Version: | 0.3.2 |
| Depends: | R (≥ 2.10) |
| Imports: | Rdpack, methods, purrr, nloptr, osqp, Rcpp, furrr (≥ 0.2.0) |
| LinkingTo: | Rcpp |
| Suggests: | covr, testthat (≥ 2.1.0), spelling, knitr, rmarkdown |
| Published: | 2020-12-01 |
| Author: | Oskar Laverny 
[aut, cre] |
| Maintainer: | Oskar Laverny <oskar.laverny at gmail.com> |
| BugReports: | https://github.com/lrnv/cort/issues |
| License: | MIT + file LICENSE |
| URL: | https://github.com/lrnv/cort |
| NeedsCompilation: | yes |
| Language: | en-US |
| Materials: | README NEWS |
| In views: | Distributions |
| CRAN checks: | cort results |
Documentation:
| Reference manual: | cort.pdf |
| Vignettes: |
1. Empirical Checkerboard Copula 2. The Copula Recursive Tree 3. Empirical Checkerboard Copula with known margins 4. Convex mixture of m-randomized checkerboards |
Downloads:
| Package source: | cort_0.3.2.tar.gz |
| Windows binaries: | r-devel: cort_0.3.2.zip, r-release: cort_0.3.2.zip, r-oldrel: cort_0.3.2.zip |
| macOS binaries: | r-release (arm64): cort_0.3.2.tgz, r-oldrel (arm64): cort_0.3.2.tgz, r-release (x86_64): cort_0.3.2.tgz, r-oldrel (x86_64): cort_0.3.2.tgz |
| Old sources: | cort archive |
Linking:
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