pyvine: the Python package for regular vine copula modeling, sampling and testing

DOI10.1007/S40304-019-00195-2MaRDI QIDQ2023903zbMATH OpenOpenAlexWikidataFDO

Authors Zhenfei Yuan, Taizhong Hu

Publication date 3 May 2021

Published in Communications in Mathematics and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s40304-019-00195-2

zbMATH Keywords

dependence structure\texttt{Python}regular vine copulaRosenblatt's transformationmultivariate samplingbivariate copulamultivariate modelingAnderson-darling test

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Approximations to statistical distributions (nonasymptotic) (62E17)

Recommendations

• A goodness-of-fit test for regular vine copula models
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Cites work

• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• scientific article; zbMATH DE number 3802727 (Why is no real title available?)
• scientific article; zbMATH DE number 3388498 (Why is no real title available?)
• A Computer Method for Calculating Kendall's Tau with Ungrouped Data
• A goodness of fit test for copulas based on Rosenblatt's transformation
• Algorithm 778: L-BFGS-B
• Beyond simplified pair-copula constructions
• Dependence structures for multivariate high-frequency data in finance
• Distribution-free continuous Bayesian belief nets
• Hierarchies of Archimedean copulas
• Maximum likelihood estimation of mixed C-vines with application to exchange rates
• Numerical evaluation of the Lambert W function and application to generation of generalized Gaussian noise with exponent 1/2
• On the simplified pair-copula construction -- simply useful or too simplistic?
• Pair-copula constructions of multiple dependence
• Parametric families of multivariate distributions with given margins
• Probability density decomposition for conditionally dependent random variables modeled by vines
• Remarks on a Multivariate Transformation
• Sampling from Archimedean copulas
• Selecting and estimating regular vine copulae and application to financial returns
• The meta-elliptical distributions with given marginals
• Vines -- a new graphical model for dependent random variables.

Cited in

(4)

• A goodness-of-fit test for regular vine copula models
• pyvine
• Sampling multivariate count variables with prespecified Pearson correlation using marginal regular vine copulas
• Sampling, conditionalizing, counting, merging, searching regular vines

Describes a project that uses

Uses Software

• R
• NetworkX
• L-BFGS-B
• QUADPACK
• L-BFGS
• F2PY
• LBFGS-B
• SciPy
• Matplotlib
• nacopula
• copula
• VineCopula
• CDVine
• BRENT
• copula
• pandas
• Python
• AnDarl
• Algorithm 462
• bvcopula

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