Python library pyvinecopulib: high performance algorithms for vinecopula modeling. pyvinecopulib is the python interface to vinecopulib, a header-only C++ library for vine copula models based on Eigen. It provides high-performance implementations of the core features of the popular VineCopula R library, in particular inference algorithms for both vine copula and bivariate copula models. Advantages over VineCopula are a stand-alone C++ library with interfaces to both R and Python, a sleaker and more modern API, shorter runtimes and lower memory consumption, especially in high dimensions, nonparametric and multi-parameter families.

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  1. Czado, Claudia: Analyzing dependent data with vine copulas. A practical guide with R (2019)