Estimation and Inference for Conditional Copula Models
c(
person("Alexis", "Derumigny", , email = "a.f.f.derumigny@tudelft.nl", role = c("aut", "cre"), comment = c(ORCID = "0000-0002-6163-8097")),
person("Jean-David", "Fermanian", , email = "Jean-David.Fermanian@ensae.fr", role = c("ctb","ths"), comment = c(ORCID = "0000-0001-5960-5555")),
person("Aleksey", "Min", , role = "ctb", comment = c(ORCID = "0000-0001-6928-4556")),
person("Rutger", "van der Spek", , role = "ctb")
)
Provides functions for the estimation of conditional copulas models,
various estimators of conditional Kendall's tau
(proposed in Derumigny and Fermanian (2019a, 2019b, 2020) <doi:10.1515/demo-2019-0016>,
<doi:10.1016/j.csda.2019.01.013>, <doi:10.1016/j.jmva.2020.104610>),
and test procedures for the simplifying assumption
(proposed in Derumigny and Fermanian (2017) <doi:10.1515/demo-2017-0011>
and Derumigny, Fermanian and Min (2020) <arXiv:2008.09498>).
MASS, knitr, rmarkdown, ggplot2, mvtnorm
VineCopula, pbapply, glmnet, ordinalNet, tree, nnet,
data.tree, statmod, pcaPP
Alexis Derumigny [aut, cre] (<https://orcid.org/0000-0002-6163-8097>),
Jean-David Fermanian [ctb, ths]
(<https://orcid.org/0000-0001-5960-5555>),
Aleksey Min [ctb] (<https://orcid.org/0000-0001-6928-4556>),
Rutger van der Spek [ctb]

VineCopula, pbapply, glmnet, ordinalNet, tree, nnet,
data.tree, statmod, wdm

Christina Heinze-Deml <heinzedeml@stat.math.ethz.ch>, Jonas Peters <jonas.peters@math.ku.dk>
Code for a variety of nonlinear conditional independence tests:
Kernel conditional independence test (Zhang et al., UAI 2011, <arXiv:1202.3775>),
Residual Prediction test (based on Shah and Buehlmann, <arXiv:1511.03334>),
Invariant environment prediction,
Invariant target prediction,
Invariant residual distribution test,
Invariant conditional quantile prediction (all from Heinze-Deml et al., <arXiv:1706.08576>).
methods, randomForest, quantregForest, lawstat, RPtests,
caTools, mgcv, MASS, kernlab

Christina Heinze-Deml <heinzedeml@stat.math.ethz.ch>,
Jonas Peters <jonas.peters@math.ku.dk>,
Asbjoern Marco Sinius Munk <fgp998@alumni.ku.dk>
methods, randomForest, quantregForest, lawstat, RPtests,
caTools, mgcv, MASS, kernlab, pracma, mize