rvinecopulib: High Performance Algorithms for Vine Copula Modeling

Provides an interface to 'vinecopulib', a C++ library for vine copula modeling based on 'Boost' and 'Eigen'. 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 'vinecopulib' as header-only C++ library (currently version 0.2.8). 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.

Getting started

Package details

AuthorThomas Nagler [aut, cre], Thibault Vatter [aut]
Date of publication2018-05-09 17:50:13 UTC
MaintainerThomas Nagler <[email protected]>
LicenseGPL-3 | file LICENSE
Package repositoryView on CRAN
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rvinecopulib documentation built on May 10, 2018, 9:04 a.m.