Package: rvinecopulib 0.6.3.1.1

Thomas Nagler

rvinecopulib: High Performance Algorithms for Vine Copula Modeling

Provides an interface to 'vinecopulib', a C++ library for vine copula modeling. The 'rvinecopulib' package implements the core features of the popular 'VineCopula' package, in particular inference algorithms for both vine copula and bivariate copula models. Advantages over 'VineCopula' are a sleeker and more modern API, improved performances, especially in high dimensions, nonparametric and multi-parameter families, and the ability to model discrete variables. The 'rvinecopulib' package includes 'vinecopulib' as header-only C++ library (currently version 0.6.2). Thus users do not need to install 'vinecopulib' itself in order to use 'rvinecopulib'. Since their initial releases, 'vinecopulib' is licensed under the MIT License, and 'rvinecopulib' is licensed under the GNU GPL version 3.

Authors:Thomas Nagler [aut, cre], Thibault Vatter [aut]

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rvinecopulib.pdf |rvinecopulib.html
rvinecopulib/json (API)
NEWS

# Install 'rvinecopulib' in R:
install.packages('rvinecopulib', repos = c('https://vinecopulib.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/vinecopulib/rvinecopulib/issues

Uses libs:
  • c++– GNU Standard C++ Library v3

On CRAN:

copulaestimationstatisticsvine

6.60 score 34 stars 13 packages 59 scripts 1.0k downloads 45 exports 10 dependencies

Last updated 2 years agofrom:d8a1e0fb5a. Checks:OK: 7 NOTE: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 13 2024
R-4.5-win-x86_64NOTENov 13 2024
R-4.5-linux-x86_64NOTENov 13 2024
R-4.4-win-x86_64OKNov 13 2024
R-4.4-mac-x86_64OKNov 13 2024
R-4.4-mac-aarch64OKNov 13 2024
R-4.3-win-x86_64OKNov 13 2024
R-4.3-mac-x86_64OKNov 13 2024
R-4.3-mac-aarch64OKNov 13 2024

Exports:as_rvine_matrixas_rvine_structurebicopbicop_distcvine_structuredbicopdvinedvine_structuredvinecopemp_cdfget_all_familiesget_all_ktausget_all_pair_copulasget_all_parametersget_familyget_ktauget_matrixget_pair_copulaget_parametersget_structurehbicopinverse_rosenblattis.rvine_matrixis.rvine_structurektau_to_parmBICVpairs_copula_datapar_to_ktaupbicoppseudo_obspvinepvinecoprbicoprosenblattrvinervine_matrixrvine_matrix_simrvine_structurervine_structure_simrvinecoptruncate_modelvinevine_distvinecopvinecop_dist

Dependencies:assertthatBHkde1dlatticerandtoolboxRcppRcppEigenRcppThreadrngWELLwdm

Readme and manuals

Help Manual

Help pageTopics
Coerce various kind of objects to R-vine structures and matricesas_rvine_matrix as_rvine_matrix.list as_rvine_matrix.matrix as_rvine_matrix.rvine_matrix as_rvine_matrix.rvine_structure as_rvine_structure as_rvine_structure.list as_rvine_structure.matrix as_rvine_structure.rvine_matrix as_rvine_structure.rvine_structure
Fit and select bivariate copula modelsbicop
Bivariate copula modelsbicop_dist
Bivariate copula distributionsbicop_distributions dbicop dbicop_dist hbicop hbicop_dist pbicop pbicop_dist rbicop rbicop_dist
Predictions and fitted values for a bivariate copula modelbicop_predict_and_fitted fitted.bicop predict.bicop predict.bicop_dist
Corrected Empirical CDFemp_cdf
Extracts components of 'bicop_dist' and 'vinecop_dist' objectsgetters get_all_families get_all_ktaus get_all_pair_copulas get_all_parameters get_family get_ktau get_matrix get_pair_copula get_parameters get_structure
Modified vine copula Bayesian information criterion (mBICv)mBICV
Exploratory pairs plot for copula datapairs_copula_data
Conversion between Kendall's tau and parametersktau_to_par par_to_ktau
Plotting tools for 'bicop_dist' and 'bicop' objectscontour.bicop contour.bicop_dist plot.bicop plot.bicop_dist
Plotting R-vine structuresplot.rvine_matrix plot.rvine_structure
Plotting 'vinecop_dist' and 'vinecop' objects.contour.vinecop contour.vinecop_dist plot.vinecop plot.vinecop_dist
Pseudo-Observationspseudo_obs
(Inverse) Rosenblatt transforminverse_rosenblatt rosenblatt
R-vine structurecvine_structure dvine_structure is.rvine_matrix is.rvine_structure rvine_matrix rvine_structure
Simulate R-vine structuresrvine_matrix_sim rvine_structure_sim
High Performance Algorithms for Vine Copula Modelingrvinecopulib
Truncate a vine copula modeltruncate_model truncate_model.rvine_matrix truncate_model.rvine_structure truncate_model.vinecop_dist truncate_model.vine_dist
Vine copula modelsvine vine_dist
Vine based distributionsdvine dvine_dist pvine pvine_dist rvine rvine_dist vine_distributions
Predictions and fitted values for a vine copula modelfitted.vine predict.vine vine_predict_and_fitted
Fitting vine copula modelsvinecop
Vine copula modelsvinecop_dist
Vine copula distributionsdvinecop dvinecop_dist pvinecop pvinecop_dist rvinecop rvinecop_dist vinecop_distributions
Predictions and fitted values for a vine copula modelfitted.vinecop predict.vinecop vinecop_predict_and_fitted