High Performance Algorithms for Vine Copula Modeling

Provides an interface to 'vinecopulib', a C++ library for vine copula modeling based on 'Boost', 'Eigen' and 'NLopt'. 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. The 'rvinecopulib' package includes headers and sources from the 'vinecopulib' C++ library (currently version 0.1.0). 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.


Reference manual

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install.packages("rvinecopulib") by Thomas Nagler, 19 days ago

Browse source code at https://github.com/cran/rvinecopulib

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

Documentation:   PDF Manual  

GPL-3 | file LICENSE license

Imports graphics, grDevices, lattice, Rcpp, stats, utils

Suggests igraph, ggplot2, ggraph, testthat

Linking to BH, Rcpp, RcppEigen, RcppProgress

System requirements: C++11

See at CRAN