Empirical and non-parametric copula models with the cort R package

The R package cort implements object-oriented classes and methods to estimate, simulate and visualize certain types of non-parametric copulas.

Dependence structure estimation using Copula Recursive Trees

We construct the Copula Recursive Tree (CORT) estimator: a flexible, consistent, piecewise linear estimator of a copula, leveraging the patchwork copula formalization and various piecewise constant density estimators. While the patchwork structure …

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) https://arxiv.

Cort research

The CORT algorithm we developed construct a non-parametric copula density estimator through a recursive splitting procedure.