Provides tools for the statistical analysis of vine copula models. 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.

Documentation

Manual: VineCopula.pdf
Vignette: None available.

Maintainer: Thomas Nagler <thomas.nagler at tum.de>

Author(s): Ulf Schepsmeier*, Jakob Stoeber*, Eike Christian Brechmann*, Benedikt Graeler*, Thomas Nagler*, Tobias Erhardt*, Carlos Almeida*, Aleksey Min*, Claudia Czado*, Mathias Hofmann*, Matthias Killiches*, Harry Joe*, Thibault Vatter*

Install package and any missing dependencies by running this line in your R console:

install.packages("VineCopula")

Depends R (>= 3.1.0)
Imports graphics, grDevices, stats, utils, MASS, mvtnorm, network, methods, copula(>=0.999-16), kdecopula(>=0.8.0), ADGofTest, lattice, doParallel, parallel, foreach
Suggests CDVine, TSP, shiny
Enhances
Linking to
Reverse
depends
CopulaRegression
Reverse
imports
CDVineCopulaConditional, gamCopula, GJRM, gofCopula, kdevine, pacotest
Reverse
suggests
copula, kdecopula
Reverse
enhances
Reverse
linking to

Package VineCopula
Materials
URL https://github.com/tnagler/VineCopula
Task Views Distributions
Version 2.1.3
Published 2017-08-15
License GPL (>= 2)
BugReports https://github.com/tnagler/VineCopula/issues
SystemRequirements
NeedsCompilation yes
Citation
CRAN checks VineCopula check results
Package source VineCopula_2.1.3.tar.gz