Package: svines 0.2.4

svines: 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>.

Authors:Thomas Nagler [aut, cre]

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svines.pdf |svines.html✨
svines/json (API)
NEWS

# Install 'svines' in R:

install.packages('svines', repos = c('https://tnagler.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/tnagler/svines/issues

Uses libs:

c++– GNU Standard C++ Library v3

Datasets:

returns - Stock returns of 20 companies

On CRAN:

cpp

3.60 score 4 stars 6 scripts 290 downloads 15 exports 42 dependencies

Last updated 20 days agofrom:5d0a12825f. Checks:9 OK. Indexed: yes.

Target	Result	Latest binary
Doc / Vignettes	OK	Jan 11 2025
R-4.5-win-x86_64	OK	Jan 11 2025
R-4.5-linux-x86_64	OK	Jan 11 2025
R-4.4-win-x86_64	OK	Jan 11 2025
R-4.4-mac-x86_64	OK	Jan 11 2025
R-4.4-mac-aarch64	OK	Jan 11 2025
R-4.3-win-x86_64	OK	Jan 11 2025
R-4.3-mac-x86_64	OK	Jan 11 2025
R-4.3-mac-aarch64	OK	Jan 11 2025

Exports:svine svine_bootstrap_models svine_dist svine_hessian svine_loglik svine_pseudo_residuals svine_scores svine_sim svinecop svinecop_dist svinecop_hessian svinecop_loglik svinecop_pseudo_residuals svinecop_scores svinecop_sim

Dependencies:actuar assertthat BH cli cvar expint extraDistr fansi fastICA fBasics fGarch gbutils glue gss kde1d lattice lifecycle logitnorm magrittr MASS Matrix nakagami pillar pkgconfig randtoolbox rbibutils Rcpp RcppEigen RcppThread Rdpack rlang rngWELL rvinecopulib spatial stabledist tibble timeDate timeSeries univariateML utf8 vctrs wdm

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
Stock returns of 20 companies	returns
Stationary vine distribution models	svine
Bootstrap S-vine models	svine_bootstrap_models
Custom S-vine distribution models	svine_dist
Expected hessian of a parametric S-vine models	svine_hessian
Log-likelihood for S-vine models	svine_loglik
Pseudo-residuals of S-vine models	svine_pseudo_residuals
Score function of parametric S-vine models	svine_scores
Simulate from a S-vine model	svine_sim
Stationary vine copula models	svinecop
Custom S-vine models	svinecop_dist
Expected hessian for S-vine copula models	svinecop_hessian
Log-likelihood for S-vine copula models	svinecop_loglik
Pseudo-residuals of S-vine copula models	svinecop_pseudo_residuals
Log-likelihood scores for S-vine copula models	svinecop_scores
Simulate from a S-vine copula model	svinecop_sim