Package MMDCopula

This package implements the robust estimation procedure of copulas via maximum mean discrepancy (MMD), following the article Alquier, Chérief-Abdellatif, Derumigny, and Fermanian, J.D. (2022), Estimation of copulas via Maximum Mean Discrepancy. Journal of the American Statistical Association, doi:10.1080/01621459.2021.2024836.

How to install

The release version on CRAN:


The development version from GitHub:

# install.packages("remotes")

Main functions

Functions for simulation and inference for the Marshall-Olkin copula

Other functions