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v0.1.4

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@AlexisDerumigny AlexisDerumigny released this 09 Sep 15:24
· 30 commits to main since this release

ElliptCopulas 0.1.4

New features

  • New functions (written with Victor Ryan @VictorRyan12 ) :

    • EllDistrDerivEst: nonparametric estimation of the derivatives of
      the generator of an elliptical distribution.

    • EllDistrEst.adapt: adaptive nonparametric estimation of the generator
      of an elliptical distribution.

    • estim_tilde_AMSE: estimate the component of the asymptotic mean-square error (AMSE)
      of the nonparametric estimator of the elliptical density generator that only
      depends on the parameter a.

  • EllDistrEst now works in a vectorized way, where a and/or h are vectors
    of the same length as the grid on which the estimator is computed. Each value
    of the grid is then estimated with the corresponding tuning parameters
    (corresponding element of a and of h).

  • New option averaging = "random" for the function KTMatrixEst
    corresponding to the averaging of a random set of entries in the off-diagonal blocks.

  • The output of KTMatrixEst now has colnames and rownames set to the names
    if available in blockStructure.

Bug fixes

  • Fixed a bug in KTMatrixEst
    (whose output did not have ones on the diagonal, contrary to the documentation).

  • Fixed a bug in EllDistrEst when the variance matrix is not the identity.

Dependencies

  • Moving dependence Rmpfr from Import to Suggest.

  • New dependence: Suggest: testthat.

  • New dependence: Import: kStatistics.

ElliptCopulas 0.1.3

  • New dependence wdm instead of pcaPP for fast computation of Kendall's tau.