biv_rho

biv_rho,Cort-method

copula

<p>Computes the bivariate Spearmann's rho matrix for a copula.</p>

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) <doi:10.1080/03610926.2019.1586936> 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 Rulli<c3><a8>re (2020) <arXiv:2005.02912>, 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.

Oskar Laverny

cort

Some Empiric and Nonparametric Copula Models

biv_rho function

<ul>
<li><p><code>biv_rho,Cort-method</code>: Method for the class Cort</p></li>
</ul>

biv_rho: Spearman's rho matrix of a copula

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