Available R codes (complementing papers):
Gijbels, I., Kika, V. and Omelka, M. (2020). Multivariate Tail Coefficients: Properties and Estimation. Entropy 2020, 22, 728.
R code and the data file
Gijbels, I., Omelka, M., Pešta, M. and Veraverbeke, N. (2017). Score tests for covariate effects in conditional copulas. Journal of Multivariate Analysis, 159, 111–133 DOI: 10.1016/j.jmva.2017.05.001.
score-tests-for-covariate-effects.R (R-function implementing the suggested test),
analysis-Cs-Sc-web.R (R-code for the real data example in the paper).
Gijbels, I., Kika, V. and Omelka, M. (2020). Multivariate Tail Coefficients: Properties and Estimation. Entropy 2020, 22, 728.
R code and the data file
Gijbels, I., Omelka, M., Pešta, M. and Veraverbeke, N. (2017). Score tests for covariate effects in conditional copulas. Journal of Multivariate Analysis, 159, 111–133 DOI: 10.1016/j.jmva.2017.05.001.
score-tests-for-covariate-effects.R (R-function implementing the suggested test),
analysis-Cs-Sc-web.R (R-code for the real data example in the paper).