Published by the Foundation for Open Access Statistics Editors-in-chief: Bettina Grün, Torsten Hothorn, Rebecca Killick, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
Authors: Thomas Nagler
Title: kdecopula: An R Package for the Kernel Estimation of Bivariate Copula Densities
Abstract: We describe the R package kdecopula (current version 0.9.2), which provides fast implementations of various kernel estimators for the copula density. Due to a variety of available plotting options it is particularly useful for the exploratory analysis of dependence structures. It can be further used for accurate nonparametric estimation of copula densities and resampling. The implementation features spline interpolation of the estimates to allow for fast evaluation of density estimates and integrals thereof. We utilize this for a fast renormalization scheme that ensures that estimates are bona fide copula densities and additionally improves the estimators' accuracy. The performance of the methods is illustrated by simulations.

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Paper: kdecopula: An R Package for the Kernel Estimation of Bivariate Copula Densities     Download PDF (Downloads: 915)
kdecopula_0.9.2.tar.gz: R source package Download (Downloads: 90; 682KB)
v84i07.R: R replication code Download (Downloads: 126; 2KB)
v84i07-simulation.R: R replication code Download (Downloads: 131; 9KB)

DOI: 10.18637/jss.v084.i07

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Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.