subrank (version 0.9.9.3)

Computes Copula using Ranks and Subsampling

Description

Estimation of copula using ranks and subsampling. The main feature of this method is that simulation studies show a low sensitivity to dimension, on realistic cases.

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Version

Install

install.packages('subrank')

Monthly Downloads

169

Version

0.9.9.3

License

GPL (>= 3)

Maintainer

Jerome Collet

Last Published

April 5th, 2023

Functions in subrank (0.9.9.3)

subrank-package

tools:::Rd_package_title("subrank")

simnul

Test statistic distribution under independence hypothesis

estimdep

Dependence estimation

corc0

Function to estimate copula using ranks and sub-sampling, minimal version.

desscop

Discrete copula graph, a two-dimensional projection

desscoptous

Discrete copula graph, ALL two-dimensional projections

corc

Function to estimate copula using ranks and sub-sampling

predonfly

Probability forecasting

simany

Test statistic distribution under any hypothesis

predictdep

Probability forecasting