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:
rvinecopulib_0.6.3.1.1.tar.gz
rvinecopulib_0.6.3.1.1.zip(r-4.5)rvinecopulib_0.6.3.1.1.zip(r-4.4)rvinecopulib_0.6.3.1.1.zip(r-4.3)
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rvinecopulib_0.6.3.1.1.tar.gz(r-4.5-noble)rvinecopulib_0.6.3.1.1.tar.gz(r-4.4-noble)
rvinecopulib_0.6.3.1.1.tgz(r-4.4-emscripten)rvinecopulib_0.6.3.1.1.tgz(r-4.3-emscripten)
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')) |
Bug tracker:https://github.com/vinecopulib/rvinecopulib/issues
copulaestimationstatisticsvine
Last updated 2 years agofrom:d8a1e0fb5a. Checks:OK: 7 NOTE: 2. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Oct 14 2024 |
| R-4.5-win-x86_64 | NOTE | Oct 14 2024 |
| R-4.5-linux-x86_64 | NOTE | Oct 14 2024 |
| R-4.4-win-x86_64 | OK | Oct 14 2024 |
| R-4.4-mac-x86_64 | OK | Oct 14 2024 |
| R-4.4-mac-aarch64 | OK | Oct 14 2024 |
| R-4.3-win-x86_64 | OK | Oct 14 2024 |
| R-4.3-mac-x86_64 | OK | Oct 14 2024 |
| R-4.3-mac-aarch64 | OK | Oct 14 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 page | Topics |
|---|---|
| Coerce various kind of objects to R-vine structures and matrices | as_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 models | bicop |
| Bivariate copula models | bicop_dist |
| Bivariate copula distributions | bicop_distributions dbicop dbicop_dist hbicop hbicop_dist pbicop pbicop_dist rbicop rbicop_dist |
| Predictions and fitted values for a bivariate copula model | bicop_predict_and_fitted fitted.bicop predict.bicop predict.bicop_dist |
| Corrected Empirical CDF | emp_cdf |
| Extracts components of 'bicop_dist' and 'vinecop_dist' objects | getters 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 data | pairs_copula_data |
| Conversion between Kendall's tau and parameters | ktau_to_par par_to_ktau |
| Plotting tools for 'bicop_dist' and 'bicop' objects | contour.bicop contour.bicop_dist plot.bicop plot.bicop_dist |
| Plotting R-vine structures | plot.rvine_matrix plot.rvine_structure |
| Plotting 'vinecop_dist' and 'vinecop' objects. | contour.vinecop contour.vinecop_dist plot.vinecop plot.vinecop_dist |
| Pseudo-Observations | pseudo_obs |
| (Inverse) Rosenblatt transform | inverse_rosenblatt rosenblatt |
| R-vine structure | cvine_structure dvine_structure is.rvine_matrix is.rvine_structure rvine_matrix rvine_structure |
| Simulate R-vine structures | rvine_matrix_sim rvine_structure_sim |
| High Performance Algorithms for Vine Copula Modeling | rvinecopulib |
| Truncate a vine copula model | truncate_model truncate_model.rvine_matrix truncate_model.rvine_structure truncate_model.vinecop_dist truncate_model.vine_dist |
| Vine copula models | vine vine_dist |
| Vine based distributions | dvine dvine_dist pvine pvine_dist rvine rvine_dist vine_distributions |
| Predictions and fitted values for a vine copula model | fitted.vine predict.vine vine_predict_and_fitted |
| Fitting vine copula models | vinecop |
| Vine copula models | vinecop_dist |
| Vine copula distributions | dvinecop dvinecop_dist pvinecop pvinecop_dist rvinecop rvinecop_dist vinecop_distributions |
| Predictions and fitted values for a vine copula model | fitted.vinecop predict.vinecop vinecop_predict_and_fitted |