CondCopulas: Estimation and Inference for Conditional Copula Models

Provides functions for the estimation of conditional copulas models, various estimators of conditional Kendall's tau (proposed in Derumigny and Fermanian (2019a, 2019b, 2020) <doi:10.1515/demo-2019-0016>, <doi:10.1016/j.csda.2019.01.013>, <doi:10.1016/j.jmva.2020.104610>), and test procedures for the simplifying assumption (proposed in Derumigny and Fermanian (2017) <doi:10.1515/demo-2017-0011> and Derumigny, Fermanian and Min (2022) <doi:10.1002/cjs.11742>).

Version:	0.1.4.1
Imports:	VineCopula, pbapply, glmnet, ordinalNet, tree, nnet, data.tree, statmod, wdm
Suggests:	MASS, knitr, rmarkdown, DiagrammeR, ggplot2, mvtnorm, testthat (≥ 3.0.0)
Published:	2024-09-03
DOI:	10.32614/CRAN.package.CondCopulas
Author:	Alexis Derumigny [aut, cre], Jean-David Fermanian [ctb, ths], Aleksey Min [ctb], Rutger van der Spek [ctb]
Maintainer:	Alexis Derumigny <a.f.f.derumigny at tudelft.nl>
BugReports:	https://github.com/AlexisDerumigny/CondCopulas/issues
License:	GPL-3
URL:	https://github.com/AlexisDerumigny/CondCopulas
NeedsCompilation:	no
Materials:	README NEWS
CRAN checks:	CondCopulas results

Documentation:

Reference manual:	CondCopulas.pdf
Vignettes:	Simulation and estimation from conditional copula models (source, R code)

Downloads:

Package source:	CondCopulas_0.1.4.1.tar.gz
Windows binaries:	r-devel: CondCopulas_0.1.4.1.zip, r-release: CondCopulas_0.1.4.1.zip, r-oldrel: CondCopulas_0.1.4.1.zip
macOS binaries:	r-release (arm64): CondCopulas_0.1.4.1.tgz, r-oldrel (arm64): CondCopulas_0.1.4.1.tgz, r-release (x86_64): CondCopulas_0.1.4.1.tgz, r-oldrel (x86_64): CondCopulas_0.1.4.1.tgz
Old sources:	CondCopulas archive

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