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copulareg:Copula Regression
Fits multivariate models in an R-vine pair copula construction framework, in such a way that the conditional copula can be easily evaluated. In addition, the package implements functionality to compute or approximate the conditional expectation via the conditional copula.
Maintained by Simon Boge Brant. Last updated 4 years ago.
1.00 scorecran
copulaboost:Fitting Additive Copula Regression Models for Binary Outcome Regression
Additive copula regression for regression problems with binary outcome via gradient boosting [Brant, Hobæk Haff (2022); <arXiv:2208.04669>]. The fitting process includes a specialised model selection algorithm for each component, where each component is found (by greedy optimisation) among all the D-vines with only Gaussian pair-copulas of a fixed dimension, as specified by the user. When the variables and structure have been selected, the algorithm then re-fits the component where the pair-copula distributions can be different from Gaussian, if specified.
Maintained by Simon Boge Brant. Last updated 3 years ago.
1.00 score