rvinecopulib

High Performance Algorithms for Vine Copula Modeling

Provides an interface to 'vinecopulib', a C++ library for vine copula modeling based on 'Boost' and 'Eigen'. The 'rvinecopulib' package implements the core features of the popular 'VineCopula' package, in particular inference algorithms for both vine copula and bivariate copula models. Advantages over 'VineCopula' are a sleeker and more modern API, improved performances, especially in high dimensions, nonparametric and multi-parameter families. The 'rvinecopulib' package includes 'vinecopulib' as header-only C++ library (currently version 0.3.0). Thus users do not need to install 'vinecopulib' itself in order to use 'rvinecopulib'. Since their initial releases, 'vinecopulib' is licensed under the MIT License, and 'rvinecopulib' is licensed under the GNU GPL version 3.

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Description file content

Package
rvinecopulib
Type
Package
Title
High Performance Algorithms for Vine Copula Modeling
Version
0.3.0.1.1
Description
Provides an interface to 'vinecopulib', a C++ library for vine copula modeling based on 'Boost' and 'Eigen'. The 'rvinecopulib' package implements the core features of the popular 'VineCopula' package, in particular inference algorithms for both vine copula and bivariate copula models. Advantages over 'VineCopula' are a sleeker and more modern API, improved performances, especially in high dimensions, nonparametric and multi-parameter families. The 'rvinecopulib' package includes 'vinecopulib' as header-only C++ library (currently version 0.3.0). Thus users do not need to install 'vinecopulib' itself in order to use 'rvinecopulib'. Since their initial releases, 'vinecopulib' is licensed under the MIT License, and 'rvinecopulib' is licensed under the GNU GPL version 3.
License
GPL-3 | file LICENSE
Encoding
UTF-8
LazyData
true
NeedsCompilation
yes
Imports
assertthat, cctools, graphics, grDevices, kde1d, lattice, Rcpp (>= 0.12.12), stats, utils
Suggests
igraph, ggplot2, ggraph, testthat
LinkingTo
BH, Rcpp, RcppEigen, RcppThread, wdm
BugReports
https://github.com/vinecopulib/rvinecopulib/issues
SystemRequirements
C++11
RoxygenNote
6.1.0
Packaged
2018-08-22 15:47:13 UTC; n5
Author
Thomas Nagler [aut, cre], Thibault Vatter [aut]
Maintainer
Thomas Nagler
Repository
CRAN
Date/Publication
2018-08-22 16:30:03 UTC

install.packages('rvinecopulib')

0.3.0.1.1

a month ago

Thomas Nagler

GPL-3 | file LICENSE

Imports

assertthat, cctools, graphics, grDevices, kde1d, lattice, Rcpp (>= 0.12.12), stats, utils

Suggests

igraph, ggplot2, ggraph, testthat

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