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 generally PatchworkCopula)

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") or fit(dist,data; method="itau") or fit(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 and BetaCopula could also be implemented.
• PatchworkCopula and CheckerboardCopula: could be nice things to have :)
• Goodness of fits tests ?