Robust Estimation of Copulas by Maximum Mean Discrepancy.

Package MMDCopula

This package implements the robust estimation procedure of copulas via maximum mean discrepancy (MMD), following the article Alquier, Chérief-Abdellatif, Derumigny, and Fermanian, J.D. (2022), Estimation of copulas via Maximum Mean Discrepancy. Journal of the American Statistical Association, doi:10.1080/01621459.2021.2024836.

How to install

The release version on CRAN:

install.packages("MMDCopula")

The development version from GitHub:

# install.packages("remotes")
remotes::install_github("AlexisDerumigny/MMDCopula")

Main functions

• BiCopEstMMD: estimate the parameter of a parametric bivariate copula by MMD minimization.

• BiCopConfIntMMD: compute a bootstrap-based or subsampling-based confidence interval for the parameter of a parametric bivariate copula.

• BiCopGradMMD: compute the gradient of the MMD criteria. Used in BiCopEstMMD.

Functions for simulation and inference for the Marshall-Olkin copula

• BiCopSim.MO: simulation of observations following a Marshall-Olkin copula.

• BiCopEst.MO: estimation of the parameter of a Marshall-Olkin copula.

• BiCopPar2Tau.MO and BiCopTau2Par.MO: convert between the parameter and the Kendall's tau of a Marshall-Olkin copula.

Other functions

• BiCopParamDistLp: compute the $L^p$ distance between two parametric copula models.