rvinecopulib

MaRDI QIDQ43057swMATHCRANFDO

Authors Thomas Nagler, Thibault Vatter

Last update 20 September 2026

Copyright license GNU General Public License, version 3.0, File License

Software version identifier 0.6.3.1.1, PACKAGES.rds, 0.1.0.1.0, 0.1.0.1.1, 0.2.0.1.0, 0.2.3.1.0, 0.2.5.1.0, 0.2.6.1.1, 0.2.7.1.0, 0.2.8.1.0, 0.3.0.1.0, 0.3.0.1.1, 0.3.1.1.0, 0.3.2.1.0, 0.3.2.1.1, 0.5.0.1.0, 0.5.1.1.0, 0.5.2.1.0, 0.5.3.1.0, 0.5.4.1.0, 0.5.5.1.0, 0.5.5.1.1, 0.6.1.1.1, 0.6.1.1.2, 0.6.1.1.3, 0.6.2.1.0, 0.6.2.1.1, 0.6.2.1.2, 0.6.2.1.3, 0.6.3.1.0, 0.7.1.1.0, 0.7.1.1.1, 0.7.1.1.2, 0.7.2.1.0, 0.7.3.1.0, 1.0.0.1.0

Official website https://cran.r-project.org/web/packages/rvinecopulib/index.html

Source code repository https://github.com/cran/rvinecopulib

Description

Provides an interface to 'vinecopulib', a C++ library for vine copula modeling. 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, and the ability to model discrete variables. The 'rvinecopulib' package includes 'vinecopulib' as header-only C++ library (currently version 1.0.0). 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.

Cited in

(37)

• tscopula
• Stationary vine copula models for multivariate time series
• svines
• copulareg
• CopulaInference
• mnonr
• discnorm
• covsim
• simIReff
• Analyzing dependent data with vine copulas. A practical guide with R
• Model selection in sparse high-dimensional vine copula models with an application to portfolio risk
• VineCopula
• RNetLogo
• Nonparametric C- and D-vine-based quantile regression
• Surrogate
• dagitty
• pacotest
• PivotalR
• kdecopula
• TSP
• simsem
• penRvine
• rmgarch
• pyvinecopulib
• CDVineCopulaConditional
• vinereg
• pencopulaCond
• kde1d
• naivebayes
• Efficient Bayesian Inference for Nonlinear State Space Models With Univariate Autoregressive State Equation
• CopulaModel
• Knockpy
• depCensoring
• S4DM
• LogisticCopula
• portvine
• copulaboost

This page was built for software: rvinecopulib