R package 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 0.5.1). 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.
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References in zbMATH (referenced in 2 articles )
Showing results 1 to 2 of 2.
- Czado, Claudia: Analyzing dependent data with vine copulas. A practical guide with R (2019)
- Nagler, T.; Bumann, C.; Czado, C.: Model selection in sparse high-dimensional vine copula models with an application to portfolio risk (2019)