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CMA

R-CMD-check Codecov test coverage Lifecycle: experimental

Multivariate Distribution = Marginals + Copulas

The Copula Marginal Algorithm (CMA) is a simple two step recipe to manipulate multivariate distributions under Fully Flexible Probabilities.

CMA can quickly decompose any multivariate distribution between unique (marginals) and their shared components (copulas). This approach can add a high level of flexibility for estimation and simulation purposes.

Vignettes

  • Panic Copulas: here

  • “What if” Analysis: here

Installation

Install the development version of CMA from github with:

# install.packages("devtools")
devtools::install_github("Reckziegel/CMA")

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