MMDCopula: Robust Estimation of Copulas by Maximum Mean Discrepancy

  • A.F.F. Derumigny (Creator)
  • Pierre Alquier (Creator)
  • Badr-Eddine Chérief-Abdellatif (Contributor)
  • Jean David Fermanian (Contributor)

Dataset

Description

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>.
Date made available2020
PublisherTU Delft - 4TU.ResearchData

Software license

  • GPLv3

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