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Overview

Contains many tools useful for copula modeling in Matlab that do not exist directly in the Statistics and Machine Learning toolbox. Highlights are:

• Smooth empirical copula density estimation via Beta-Kernels for any D>=2.
• Empirical copula function estimation for any D>=2
• Sampling from calculated empirical copula for D>=2
• Clayton/Frank/Gumbel copula PDF and sampling for D>=2

Directory Structure

• algorithms/ - contains the core copula algorithms.

• simulations/ - contains simulation code which uses the algorithms developed