VineCopula
swMATH8160CRANVineCopulaMaRDI QIDQ20170FDOQ20170
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.
Cited In (62)
- The copula directional dependence by stochastic volatility models
- Modeling biased information seeking with second order probability distributions.
- SELECTING BIVARIATE COPULA MODELS USING IMAGE RECOGNITION
- A heteroscedasticity diagnostic of a regression analysis with copula dependent random variables
- Predicting times to event based on vine copula models
- Statistical arbitrage with vine copulas
- Derivatives and Fisher information of bivariate copulas
- Estimating non-simplified vine copulas using penalized splines
- pyvine: the Python package for regular vine copula modeling, sampling and testing
- vccp
- Prediction based on conditional distributions of vine copulas
- Simplified R-vine based forward regression
- Model distances for vine copulas in high dimensions
- Analyzing dependent data with vine copulas. A practical guide with R
- Nonparametric estimation of simplified vine copula models: comparison of methods
- Vine copula based likelihood estimation of dependence patterns in multivariate event time data
- Copula diagnostics for asymmetries and conditional dependence
- Generalized information matrix tests for copulas
- Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems
- Selection of vine copulas
- Selection of sparse vine copulas in high dimensions with the Lasso
- Spatial composite likelihood inference using local C-vines
- R-vine models for spatial time series with an application to daily mean temperature
- Dependence modelling in ultra high dimensions with vine copulas and the graphical Lasso
- Modeling influenza-like illness activity in the United States
- Regular vines with strongly chordal pattern of (conditional) independence
- A Bayesian hierarchical copula model
- Sampling, conditionalizing, counting, merging, searching regular vines
- On the dependence structure between S\&P500, VIX and implicit interexpectile differences
- Efficient information based goodness-of-fit tests for vine copula models with fixed margins: a comprehensive review
- Regime dependent interconnectedness among fuzzy clusters of financial time series
- gofCopula
- Parametric likelihood inference and goodness-of-fit for dependently left-truncated data, a copula-based approach
- Comparison of non-nested models under a general measure of distance
- Pair-copula models for analyzing family data
- Model selection of copulas: AIC versus a cross validation copula information criterion
- pacotest
- kdevine
- GJRM
- gamCopula
- CDVineCopulaConditional
- D-vine copula based quantile regression
- Testing the simplifying assumption in high-dimensional vine copulas
- Analysis of ordinal and continuous longitudinal responses using pair copula construction
- Representing Sparse Gaussian DAGs as Sparse R-Vines Allowing for Non-Gaussian Dependence
- FactorCopula
- A short history of statistical association: from correlation to correspondence analysis to copulas
- Factor copula models for multivariate data
- CopulaCenR
- On identification and non-normal simulation in ordinal covariance and item response models
- Forward-reverse switch between density-based and regional sensitivity analysis
- CondCopulas
- MMDCopula
- VC2copula
- OpVaR
- A vine copula approach for regression analysis of bivariate current status data with informative censoring
- AssetCorr
- Predictive inference for bivariate data: combining nonparametric predictive inference for marginals with an estimated copula
- Copula directed acyclic graphs
- A mixture of regular vines for multiple dependencies
- A goodness-of-fit test for regular vine copula models
- Covariance model simulation using regular vines
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