Does anyone know if there exist packages to fit multivariate Bernstein copula in R. I have searched, and I only find a couple of packages for bivariate copula (kdecopula, subcopem2D). since this is a rather popular non-parametric copula, I would assume such a package exist in R, but I have not been able to find it. Any help is much appreciated.
R packages for multivariate Bernstein copulas
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To the best of my knowledge, there are two R functions as follows:
rvinecopulib: covers bivariate and multivariate (vine) copula models. It also takes into account both parametric and non-parametric copula.
vinereg: provides D-vine copula regression models, including non-parametric copula families.
I think np package has nonparametric copula. But if you found other packages with more than two dimensions reply here please.