Statistical inference of vine copulas

R package for estimating copula entropy (mutual information), transfer entropy (conditional mutual information), and the statistic for multivariate normality test and two-sample test

ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.

MultiSKAT is an R-package focused at rare-variant analysis of continuous multiple phenotype data. This project contains the R-codes/functions (including an example dataset) to carry out the MultiSKAT tests.

R package for dependence modelling with factor copulas

Model-based clustering with vine copulas

The repo contains the main topics carried out in my master's thesis on operational risk. In particular, it is described how to implement the so called Loss Distribution Approach (LDA), which is considered the state-of-the-art method to compute capital charge among large banks.

Inference of Elliptical Copulas and Elliptical Distributions

R-package: Testing for Partial Copulas and the Simplifying Assumption in Vine Copulas

Covariate-dependent copula models

The MultiHazard R package provides tools for stationary multivariate statistical modeling such as of the joint distribution of MULTIple co-occurring HAZARDs.

Code for the paper "Change Point Detection with Copula Entropy based Two-Sample Test"

This repo is for copula based analysis on bivariate as well as multivariate data sets in ecology and related fields. For details and citation we refer to this publication: Ghosh et al., Advances in Ecological Research, vol 62,pp 409, 2020

pbox R package. Exploring multivariate spaces with Probability Boxes

Liouville copulas

This repo is the complete workflow for this publication: Tail associations in ecological variables and their impact on extinction risk, Ghosh et al., Ecosphere 11(5):e03132. For details and citation see here:

Some code related to our paper Per,Duc,Nes. Detection (2019). The objective is to detect block-exchangeable structures in correlation matrices. For any help, please contact me or leave a comment somewhere. I will be glad to help you.

This repo is the complete workflow for this publication: A new approach to interspecific synchrony in population ecology using tail association, Ghosh et al., Ecology and evolution 10, no. 23 ( 2020): 12764 12776.

Code for the paper "Causal Domain Adaptation with Copula Entropy based Conditional Independence Test"