VineCopula (Q20170): Difference between revisions

← Older edit

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-Selecting and estimating regular vine copulae and application to financial returns
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+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.
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+Thomas Nagler
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+Ulf Schepsmeier
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+Jakob Stoeber
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+Eike Christian Brechmann
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+Benedikt Graeler
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+Tobias Erhardt
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+GNU General Public License, version 2.0
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+GNU General Public License, version 3.0
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+edition/version: expanded from: GPL (≥ 2) (English)
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+Pair-copula constructions of multiple dependence
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+Selecting and estimating regular vine copulae and application to financial returns
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+https://github.com/cran/VineCopula
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+swh:1:snp:56862be4664575316fac0286a4417a13c1d0db01
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+source code repository: https://github.com/cran/VineCopula
+point in time: 20 July 2023Timestamp +2023-07-20T00:00:00Z
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+Software:20170

Latest revision as of 16:29, 21 March 2024

Statistical Inference of Vine Copulas

Language	Label	Description	Also known as
English	VineCopula	Statistical Inference of Vine Copulas

Statements

0 references

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software version identifier

2.4.5

publication date

19 January 2023

0 references

1.0

publication date

28 June 2012

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1.1-1

publication date

7 February 2013

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1.1-2

publication date

26 August 2013

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1.1

publication date

4 February 2013

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1.2

publication date

11 November 2013

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1.3

publication date

22 April 2014

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1.4

publication date

28 January 2015

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1.5

publication date

5 June 2015

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1.6-1

publication date

9 November 2015

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1.6

publication date

22 July 2015

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2.0.0

publication date

9 June 2016

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2.0.1

publication date

10 June 2016

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2.0.4

publication date

9 August 2016

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2.0.5

publication date

26 September 2016

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2.1.0

publication date

23 December 2016

0 references

2.1.1

publication date

11 January 2017

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2.1.2

publication date

25 April 2017

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2.1.3

publication date

16 August 2017

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2.1.4

publication date

11 February 2018

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2.1.5

publication date

17 May 2018

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2.1.6

publication date

18 June 2018

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2.1.7

publication date

31 August 2018

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2.1.8

publication date

18 September 2018

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2.2.0

publication date

15 July 2019

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2.3.0

publication date

26 November 2019

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2.4.0

publication date

3 October 2020

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2.4.1

publication date

25 October 2020

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2.4.2

publication date

12 May 2021

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2.4.3

publication date

7 October 2021

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2.4.4

publication date

24 May 2022

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2.5.0

publication date

10 July 2023

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0 references

0 references

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MaRDI software profile

0 references

last update

10 July 2023

0 references

description

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.

0 references

0 references

0 references

0 references

Eike Christian Brechmann

0 references

Benedikt Graeler

0 references