copula

Non-parametric estimation of archimedean's radial parts -- a summer story

Background The estimation of archimedean copulas is an issue that bothers me since… a while now. My first shot at reasearch, while still being a master’s student, was a project with a few friends involving those models into a solvency 2 and reinsurence pricing problem.

About the Gumbel-Barnett Archimedean copula

Part 1: About the Gumbel-Barnett generator and its derivatives. In this article, I discuss an interesting problem encountered while working on Copulas.jl, a Julia package for copula routines that I have developed and continue to maintain.

Shine of multiple dispatch: the `Copulas.jl` case.

Copulas.j: A fully Distribution.jl-complient copula package

Estimation and sampling of copulas in Julia with Copulas.jl

Announce I am proud to annonce the publication and the registration of my new Julia package, Copulas.jl. As it’s name suggests, Copulas.jl is a package that implements methods and tools to work with an arround copulas in the Julia programming language.

Estimation of High-dimensional Thorin measures

Estimation of High-dimensional Thorin measures

Estimation of high dimensional generalized gamma convolutions through random projections

Estimation of High-dimensional Thorin measures

(Virtual) Estimation of multivariate generalized gamma convolutions through Laguerre expansions