kdevine

R package kdevine: Multivariate Kernel Density Estimation with Vine Copulas. Implements the vine copula based kernel density estimator of Nagler and Czado (2016) <doi:10.1016/j.jmva.2016.07.003>. The estimator does not suffer from the curse of dimensionality and is therefore well suited for high-dimensional applications.

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References in zbMATH (referenced in 3 articles )

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  1. Czado, Claudia: Analyzing dependent data with vine copulas. A practical guide with R (2019)
  2. Nagler, Thomas; Czado, Claudia: Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas (2016)
  3. Thomas Nagler: kdecopula: An R Package for the Kernel Estimation of Bivariate Copula Densities (2016) arXiv