Multivariate Dependence Modeling with Vines

Implementation of the vine graphical model for building high-dimensional probability distributions as a factorization of bivariate copulas and marginal density functions. This package provides S4 classes for vines (C-vines and D-vines) and methods for inference, goodness-of-fit tests, density/distribution function evaluation, and simulation.


News

Changes in version 1.1.5 (July 28, 2016):

  • Fix bug introduced by changes in the copulaedas package. Thanks to Martin Maechler for providing a patch.

Changes in version 1.1.4 (October 7, 2015):

  • New eps argument in the h() and hinverse() methods. It allows to control the numerical precision for arguments and return values close to 0 or 1. Thanks to Joris Meys and Hilde Vernieuwe.
  • Fix warnings caused by missing imports in NAMESPACE.
  • Use testthat for the package tests.

Changes in version 1.1.3 (March 25, 2015):

  • Update the package description to comply with CRAN requirements.

Changes in version 1.1.2 (March 21, 2015):

  • Fix order of the parameter bounds in vineFit. Thanks to Bastian Klein.

Changes in version 1.1.1 (January 19, 2015):

  • Make CITATION readable without having the package installed.

Changes in version 1.1.0 (May 10, 2014):

  • Improved numerical stability of the h-functions of the normal and t copulas.
  • Package license set to GPL (>= 2) instead of GPL (>= 3).

Changes in version 1.0.11 (March 4, 2014):

  • Bug fix: abs(theta) was being used instead of fabs(theta) in the C code of the h-functions. Thanks to Prof. Brian Ripley.

Changes in version 1.0.10 (February 6, 2014):

  • Added missing loglikCopula to importFrom(copula, ...) in NAMESPACE.
  • Updated the use of the Archimedean copula functions from the copula package (new use.indepC argument).

Changes in version 1.0.9 (February 2, 2014):

  • Fixed incorrect call to all.equal in tests/hfunctions.R.

Changes in version 1.0.8 (May 14, 2013):

  • Fixed a missing documentation warning.

Changes in version 1.0.7 (April 16, 2013):

  • Improved the numerical stability of the evaluation of the vine PDF.
  • Minor corrections in the documentation.

Changes in version 1.0.6 (November 2, 2012):

  • Reduced the running time of the tests.
  • Only integer values of the degrees of freedom parameter of the t-copula are now used in the test scripts, in order to avoid errors related with the mvtnorm package only accepting integer values.

Changes in version 1.0.5 (July 31, 2012):

  • Fixed an error because of the message slot of copula objects being renamed to fullname.
  • Changes to match the new names and signatures of {d,p,r}Copula.
  • Added the URL of the github repository of the package.
  • Fixed errors in the inst/CITATION file.

Changes in version 1.0.4 (April 11, 2012):

  • Fixed an error in the script that tests the implementation of the h-functions related with the evaluation of the pcopula function of the t-copula for non-integer degrees of freedom.

Changes in version 1.0.3 (July 28, 2011):

  • The file with the full text of the GNU GPL was removed from the package.

Changes in version 1.0.2 (July 19, 2011):

  • Spelling corrections.

Changes in version 1.0.1 (May 23, 2011):

  • R CMD check warnings fixed.

Changes in version 1.0.0 (May 20, 2011):

  • First public release.

Reference manual

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install.packages("vines")

1.1.5 by Yasser Gonzalez-Fernandez, 3 years ago


https://github.com/yasserglez/vines


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


Authors: Yasser Gonzalez-Fernandez [aut, cre] , Marta Soto [aut] , Joris Meys [ctb]


Documentation:   PDF Manual  


Task views: Probability Distributions


GPL (>= 2) license


Imports ADGofTest, cubature, TSP

Depends on methods, copula

Suggests testthat


Imported by copulaedas.


See at CRAN