Robust Estimation of Copulas by Maximum Mean Discrepancy
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Updated
Apr 25, 2022 - R
Robust Estimation of Copulas by Maximum Mean Discrepancy
Multivariate Environmental Statistics (BEE6300) R Code
The Quant Copula Playground is a Shiny application designed for everyone interested in exploring the dependencies between stock returns using various copula models. This application is inspired by seminal works in the field of copulas, particularly "An Introduction to Copulas" by Roger B. Nelsen.
Simulation of Partition-of-Unity copulas in R, e.g. for the purpose of modeling risk or for the creation of synthetic data based on restricted datasets
Gumbel, Clayton, Frank, and Independence copula that use on Weibull distribution.
The repo contains the main topics carried out in my master's thesis on operational risk. In particular, it is described how to implement the so called Loss Distribution Approach (LDA), which is considered the state-of-the-art method to compute capital charge among large banks.
Causal discovery from mixed data with missing values.
Inference for Gaussian copula factor models and its application to causal discovery.
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