Martin Lysy, Jonathan Ramkissoon


Description

Provides functions for density evaluation and both joint and conditional random sampling from a Gaussian Copula distribution with arbitrary margins. This is achieved by storing univariate marginal distributions as extended density (xDensity) objects which provide d/p/q/r methods, and which can be estimated from data using a variety of parametric, nonparametric, and semiparametric approaches.

Installation

Install the R package devtools and run

devtools::install_github("mlysy/GaussCop")

Usage

An overview of the GaussCop::xDensity class and other package utilities is provided in the package vignette.