kdecopula: An R Package for the Kernel Estimation of Bivariate Copula Densities

2016/03/14 by Thomas Nagler, Nagler, Thomas · 1 citation
Computer Science · Economics, Econometrics and Finance · Mathematics · #Computation (stat.CO) #Data Analysis with R #FOS: Computer and information sciences #Financial Risk and Volatility Modeling #Statistical Methods and Inference

paper · pdf · doi:10.48550/arxiv.1603.04229

openalex publication_date 2016/03/14 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We describe the R package kdecopula (current version 0.9.0), 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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