VineCopula
swMATH8160CRANVineCopulaMaRDI QIDQ20170
Statistical Inference of Vine Copulas
Benedikt Graeler, Tobias Erhardt, Ulf Schepsmeier, Jakob Stoeber, Thomas Nagler, Eike Christian Brechmann
Last update: 10 July 2023
Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0
Software version identifier: 2.4.5, 1.0, 1.1-1, 1.1-2, 1.1, 1.2, 1.3, 1.4, 1.5, 1.6-1, 1.6, 2.0.0, 2.0.1, 2.0.4, 2.0.5, 2.1.0, 2.1.1, 2.1.2, 2.1.3, 2.1.4, 2.1.5, 2.1.6, 2.1.7, 2.1.8, 2.2.0, 2.3.0, 2.4.0, 2.4.1, 2.4.2, 2.4.3, 2.4.4, 2.5.0
Source code repository: https://github.com/cran/VineCopula
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.
