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.
Last updated 2 months ago
copulaestimationstatisticsvine
10.88 score 90 stars 23 dependents 370 scripts 4.0k downloadsRcppThread - R-Friendly Threading in C++
Provides a C++11-style thread class and thread pool that can safely be interrupted from R. See Nagler (2021) <doi:10.18637/jss.v097.c01>.
Last updated 1 months ago
cpp
9.87 score 60 stars 86 dependents 4 scripts 12k downloadskde1d - Univariate Kernel Density Estimation
Provides an efficient implementation of univariate local polynomial kernel density estimators that can handle bounded and discrete data. See Geenens (2014) <doi:10.48550/arXiv.1303.4121>, Geenens and Wang (2018) <doi:10.48550/arXiv.1602.04862>, Nagler (2018a) <doi:10.48550/arXiv.1704.07457>, Nagler (2018b) <doi:10.48550/arXiv.1705.05431>.
Last updated 22 days ago
cpp
6.70 score 13 stars 15 dependents 57 scripts 817 downloadsvinereg - D-Vine Quantile Regression
Implements D-vine quantile regression models with parametric or nonparametric pair-copulas. See Kraus and Czado (2017) <doi:10.1016/j.csda.2016.12.009> and Schallhorn et al. (2017) <doi:10.48550/arXiv.1705.08310>.
Last updated 21 days ago
copulaestimationstatisticsvinecpp
6.07 score 11 stars 27 scripts 327 downloadskdecopula - Kernel Smoothing for Bivariate Copula Densities
Provides fast implementations of kernel smoothing techniques for bivariate copula densities, in particular density estimation and resampling.
Last updated 7 years ago
openblascpp
5.57 score 8 stars 1 dependents 31 scripts 750 downloadswdm - Weighted Dependence Measures
Provides efficient implementations of weighted dependence measures and related asymptotic tests for independence. Implemented measures are the Pearson correlation, Spearman's rho, Kendall's tau, Blomqvist's beta, and Hoeffding's D; see, e.g., Nelsen (2006) <doi:10.1007/0-387-28678-0> and Hollander et al. (2015, ISBN:9780470387375).
Last updated 29 days ago
dependencestatisticscpp
5.09 score 3 stars 20 dependents 11 scripts 1.3k downloadskdevine - Multivariate Kernel Density Estimation with Vine Copulas
Implements the vine copula based kernel density estimator of Nagler and Czado (2016) <doi:10.1016/j.jmva.2016.07.003>. The estimator does not suffer from the curse of dimensionality and is therefore well suited for high-dimensional applications.
Last updated 8 months ago
cpp
4.43 score 17 stars 32 scripts 218 downloadsVC2copula - Extend the 'copula' Package with Families and Models from 'VineCopula'
Provides new classes for (rotated) BB1, BB6, BB7, BB8, and Tawn copulas, extends the existing Gumbel and Clayton families with rotations, and allows to set up a vine copula model using the 'copula' API. Corresponding objects from the 'VineCopula' API can easily be converted.
Last updated 12 months ago
3.83 score 4 stars 17 scripts 206 downloadssvines - Stationary Vine Copula Models
Provides functionality to fit and simulate from stationary vine copula models for time series, see Nagler et al. (2022) <doi:10.1016/j.jeconom.2021.11.015>.
Last updated 21 days ago
cpp
3.60 score 4 stars 6 scripts 290 downloads