The `cort` Package is now on Cran !

The cort package is now on cran !

The cort package provides S4 classes and methods to fit several copula models:

  • The classic empirical checkerboard copula and the empirical checkerboard copula with known margins, see Cuberos, Masiello and Maume-Deschamps (2019) doi:10.1080/03610926.2019.1586936 are proposed. These two models allow to fit copulas in high dimension with a small number of observations, and they are always proper copulas. Some flexibility is added via a possibility to differentiate the checkerboard parameter by dimension.

  • The last model consist of the implementation of the Copula Recursive Tree algorithm, aka. CORT, including the localised dimension reduction, which fits a copula by recursive splitting of the copula domain.

  • We finaly provide an efficient way of mixing copulas, allowing to bag the algorithm into a forest, and a generic way of measuring d-dimensional boxes with a given copula.

Installation

cort is Now on CRAN! You can install the sable version with:

install.packages("cort")

The upstream developpement version can also be installed with :

devtools::install_github("lrnv/cort")

The vignettes are quite expressive. They give a clear overview of what can be done with this package, how it is coded and why it is useful. Please read them for more details.

Oskar Laverny
Oskar Laverny
Actuary - P.h.d

My research interests include dependences structures in high dimensions, copulas, code and actuarial sciences.

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