VineCopula: Statistical Inference of Vine Copulas

Provides tools for the statistical analysis of regular vine copula models, see Aas et al. (2009) <doi:10.1016/j.insmatheco.2007.02.001> and Dissman et al. (2013) <doi:10.1016/j.csda.2012.08.010>. The package includes tools for parameter estimation, model selection, simulation, goodness-of-fit tests, and visualization. Tools for estimation, selection and exploratory data analysis of bivariate copula models are also provided.

Version: 2.5.1
Depends: R (≥ 3.1.0)
Imports: graphics, grDevices, stats, utils, MASS, mvtnorm, methods, ADGofTest, lattice, parallel
Suggests: TSP, shiny, testthat, numDeriv, kdecopula (≥ 0.8.0), network
Published: 2024-08-19
DOI: 10.32614/CRAN.package.VineCopula
Author: Thomas Nagler [aut, cre], Ulf Schepsmeier [aut], Jakob Stoeber [aut], Eike Christian Brechmann [aut], Benedikt Graeler [aut], Tobias Erhardt [aut], Carlos Almeida [ctb], Aleksey Min [ctb, ths], Claudia Czado [ctb, ths], Mathias Hofmann [ctb], Matthias Killiches [ctb], Harry Joe [ctb], Thibault Vatter [ctb]
Maintainer: Thomas Nagler <mail at tnagler.com>
BugReports: https://github.com/tnagler/VineCopula/issues
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL: https://github.com/tnagler/VineCopula
NeedsCompilation: yes
Materials: README NEWS
In views: Distributions
CRAN checks: VineCopula results

Documentation:

Reference manual: VineCopula.pdf

Downloads:

Package source: VineCopula_2.5.1.tar.gz
Windows binaries: r-devel: VineCopula_2.5.1.zip, r-release: VineCopula_2.5.1.zip, r-oldrel: VineCopula_2.5.1.zip
macOS binaries: r-release (arm64): VineCopula_2.5.1.tgz, r-oldrel (arm64): VineCopula_2.5.1.tgz, r-release (x86_64): VineCopula_2.5.1.tgz, r-oldrel (x86_64): VineCopula_2.5.1.tgz
Old sources: VineCopula archive

Reverse dependencies:

Reverse imports: AssetCorr, CDVineCopulaConditional, CondCopulas, CopulaCenR, FactorCopula, gamCopula, GJRM, gofCopula, kdevine, LocalCop, LogisticCopula, MMDCopula, pacotest, parTimeROC, VC2copula, vccp
Reverse linking to: VC2copula
Reverse suggests: copula, kdecopula

Linking:

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