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cort  

Some Empiric and Nonparametric Copula Models
View on CRAN: Click here


Download and install cort package within the R console
Install from CRAN:
install.packages("cort")

Install from Github:
library("remotes")
install_github("cran/cort")

Install by package version:
library("remotes")
install_version("cort", "0.3.2")



Attach the package and use:
library("cort")
Maintained by
Oskar Laverny
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2020-04-01
Latest Update: 2023-01-10
Description:
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 doi10.108003610926.2019.1586936 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 Rullire 2020 arXiv2005.02912 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.
How to cite:
Oskar Laverny (2020). cort: Some Empiric and Nonparametric Copula Models. R package version 0.3.2, https://cran.r-project.org/web/packages/cort. Accessed 17 Feb. 2025.
Previous versions and publish date:
0.3.0 (2020-04-01 10:40), 0.3.1 (2020-05-14 01:40), 0.3.2 (2020-12-01 01:30)
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