CondCopulas (Q110518)
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Estimation and Inference for Conditional Copula Models
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | CondCopulas |
Estimation and Inference for Conditional Copula Models |
Statements
26 September 2023
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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>).
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