R package CDVineCopulaConditional: Sampling from Conditional C- and D-Vine Copulas. Provides tools for sampling from a conditional copula density decomposed via Pair-Copula Constructions as C- or D- vine. Here, the vines which can be used for such a sampling are those which sample as first the conditioning variables (when following the sampling algorithms shown in Aas et al. (2009) <doi:10.1016/j.insmatheco.2007.02.001>). The used sampling algorithm is presented and discussed in Bevacqua et al. (2017) <doi:10.5194/hess-2016-652>, and it is a modified version of that from Aas et al. (2009) <doi:10.1016/j.insmatheco.2007.02.001>. A function is available to select the best vine (based on information criteria) among those which allow for such a conditional sampling. The package includes a function to compare scatterplot matrices and pair-dependencies of two multivariate datasets.
Keywords for this software
References in zbMATH (referenced in 1 article )
Showing result 1 of 1.