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kdecopula

R package kdecopula: Kernel Smoothing for Bivariate Copula Densities. Provides fast implementations of kernel smoothing techniques for bivariate copula densities, in particular density estimation and resampling.

Keywords for this software

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  • copula
  • vine
  • model selection
  • vine copulas
  • vine copula
  • kernel
  • nonparametric pair-copulas
  • stress testing
  • B-spline
  • multivariate data structures
  • kernel density
  • nonparametric
  • conditional copula quantile
  • multivariate statistics
  • Bernstein
  • dependent data
  • Kriging
  • conditional quantile function
  • parameter estimation in copulas
  • simulation
  • classification
  • bivariate copula
  • case study
  • Gaussian copula
  • frequency-severity dependence
  • collective risk model
  • mining
  • regular vine copula
  • quantile regression
  • trail dependence

  • URL: cran.rstudio.com/web/p...
  • InternetArchive
  • Manual: cran.r-project.org/web...
  • Authors: Thomas Nagler, Kuangyu Wen
  • Dependencies: R

  • Add information on this software.


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  • nlme
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  • TSP
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  • locfit
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  • copula
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References in zbMATH (referenced in 8 articles )

Showing results 1 to 8 of 8.
y Sorted by year (citations)

  1. Tepegjozova, Marija; Zhou, Jing; Claeskens, Gerda; Czado, Claudia: Nonparametric C- and D-vine-based quantile regression (2022)
  2. Oh, Rosy; Ahn, Jae Youn; Lee, Woojoo: On copula-based collective risk models: from elliptical copulas to vine copulas (2021)
  3. Addo, E. jun.; Chanda, E. K.; Metcalfe, A. V.: Spatial pair-copula model of grade for an anisotropic gold deposit (2019)
  4. Czado, Claudia: Analyzing dependent data with vine copulas. A practical guide with R (2019)
  5. Kraus, Daniel; Czado, Claudia: D-vine copula based quantile regression (2017)
  6. Nagler, Thomas; Schellhase, Christian; Czado, Claudia: Nonparametric estimation of simplified vine copula models: comparison of methods (2017)
  7. Nagler, Thomas; Czado, Claudia: Evading the curse of dimensionality in nonparametric density estimation with simplified vine copulas (2016)
  8. Thomas Nagler: kdecopula: An R Package for the Kernel Estimation of Bivariate Copula Densities (2016) arXiv

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    • Top MSC classes
      • 62 Statistics
      • 86 Geophysics
      • 91 Game theory, economics,...

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