Package: svines 0.2.7

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]

svines_0.2.7.tar.gz
svines_0.2.7.zip(r-4.7)svines_0.2.7.zip(r-4.6)svines_0.2.7.zip(r-4.5)
svines_0.2.7.tgz(r-4.6-x86_64)svines_0.2.7.tgz(r-4.6-arm64)svines_0.2.7.tgz(r-4.5-x86_64)svines_0.2.7.tgz(r-4.5-arm64)
svines_0.2.7.tar.gz(r-4.7-arm64)svines_0.2.7.tar.gz(r-4.7-x86_64)svines_0.2.7.tar.gz(r-4.6-arm64)svines_0.2.7.tar.gz(r-4.6-x86_64)
svines_0.2.7.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
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

3.30 score 4 stars 6 scripts 270 downloads 15 exports 57 dependencies

Last updated from:8036e17072. Checks:13 OK. Indexed: yes.

Target	Result	Time
linux-devel-arm64	OK	216
linux-devel-x86_64	OK	222
source / vignettes	OK	260
linux-release-arm64	OK	213
linux-release-x86_64	OK	215
macos-release-arm64	OK	196
macos-release-x86_64	OK	323
macos-oldrel-arm64	OK	144
macos-oldrel-x86_64	OK	328
windows-devel	OK	219
windows-release	OK	275
windows-oldrel	OK	206
wasm-release	OK	166

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 bbmle bdsmatrix BH cli cvar expint extraDistr fastICA fBasics fGarch gbutils glue gss GUILDS intervals kde1d lattice lifecycle logitnorm magrittr MASS Matrix mvtnorm nakagami nloptr numDeriv pillar pkgconfig poilog poweRlaw pracma randtoolbox rbibutils Rcpp RcppArmadillo RcppEigen RcppParallel RcppThread Rdpack Rfast rlang rngWELL rvinecopulib sads spatial stabledist tibble timeDate timeSeries univariateML utf8 vctrs VGAM wdm zigg

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