CondCopulas: Estimation and Inference for Conditional Copula Models
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>), 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>), and measures of non-simplifyingness (proposed in Derumigny (2025) <doi:10.48550/arXiv.2504.07704>).
| Version: | 0.2.0 |
| Imports: | VineCopula,pbapply,glmnet,ordinalNet,tree,nnet,data.tree,statmod,wdm |
| Suggests: | MASS,knitr,rmarkdown,DiagrammeR,ggplot2,mvtnorm,testthat (≥ 3.0.0) |
| Published: | 2025-11-24 |
| DOI: | 10.32614/CRAN.package.CondCopulas |
| Author: | Alexis Derumigny [aut, cre], Jean-David Fermanian [ctb, ths], Aleksey Min [ctb], Rutger van der Spek [ctb] |
| Maintainer: | Alexis Derumigny <a.f.f.derumigny at tudelft.nl> |
| BugReports: | https://github.com/AlexisDerumigny/CondCopulas/issues |
| License: | GPL-3 |
| URL: | https://github.com/AlexisDerumigny/CondCopulas |
| NeedsCompilation: | no |
| Materials: | README,NEWS |
| CRAN checks: | CondCopulas results |
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