Development roadmap
We hope to implement a few more copula models into this package. The next ones to be implemented will probably be:
- Extreme values copulas.
- Nested Archimedeans (for any generators, with automatic nesting conditions checks).
- Bernstein copula and more general Beta copula as smoothing of the Empirical copula.
CheckerboardCopula
(and more generallyPatchworkCopula
)
More precisely, the following directions could be pursued:
Next:
- More documentation and tests for the current implementation.
- Docs: show how to use the
WilliamsonCopula
to implement generic Archimedeans. - Give the user the choice of fitting method via
fit(dist,data; method="MLE")
orfit(dist,data; method="itau")
orfit(dist,data; method="irho")
. - Fitting a generic archimedean with an empirically produced generator
- Automatic checks of generator d-monotony ? Dunno if it is even possible.
Maybe later:
NestedArchimedean
, with automatic checking of nesting conditions for generators.Vines
?Archimax
?BernsteinCopula
andBetaCopula
could also be implemented.PatchworkCopula
andCheckerboardCopula
: could be nice things to have :)- Goodness of fits tests ?