README.Rmd

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output: github_document
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# CMA

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> Multivariate Distribution = Marginals + Copulas

The Copula Marginal Algorithm (CMA) is a simple two step recipe to manipulate multivariate distributions under [Fully Flexible Probabilities](https://reckziegel.github.io/FFP/).

CMA can quickly decompose any multivariate distribution between unique (*marginals*) and their shared components (*copulas*). This approach can add a high level of flexibility for estimation and simulation purposes.

# Vignettes

- Panic Copulas: [here](https://reckziegel.github.io/CMA/articles/panic_copula.html)

- "What if" Analysis: [here](https://reckziegel.github.io/CMA/articles/what_if_analysis.html)

# Installation

Install the development version of `CMA` from github with:

```r
# install.packages("devtools")
devtools::install_github("Reckziegel/CMA")
```

# References

- Meucci, Attilio, A New Breed of Copulas for Risk and Portfolio Management (May 22, 2011). Risk, Vol. 24, No. 9, pp. 122-126, 2011, Available at SSRN: https://www.ssrn.com/abstract=1752702

- Meucci, Attilio, A Short, Comprehensive, Practical Guide to Copulas (May 20, 2011). GARP Risk Professional, p. 22-27, October 2011, Available at SSRN: https://www.ssrn.com/abstract=1847864 or http://dx.doi.org/10.2139/ssrn.1847864

- Attilio Meucci (2021). Copula-Marginal Algorithm (CMA) (https://www.mathworks.com/matlabcentral/fileexchange/32701-copula-marginal-algorithm-cma), MATLAB Central File Exchange. Retrieved September 23, 2021.