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.

Getting started

Package details

AuthorEmanuele Bevacqua [aut, cre]
MaintainerEmanuele Bevacqua <[email protected]>
LicenseGPL (>= 2)
Version0.1.1
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("CDVineCopulaConditional")

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CDVineCopulaConditional documentation built on May 2, 2019, 8:57 a.m.