rvinecopulib

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High Performance Algorithms for Vine Copula Modeling

Thibault Vatter, Thomas Nagler

Last update: 23 February 2023

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

Software version identifier: 0.6.3.1.1

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

Cited In (15)

• covsim
• 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
• Nonparametric C- and D-vine-based quantile regression
• Surrogate
• vinereg
• portvine
• Stationary vine copula models for multivariate time series
• copulaboost
• Efficient Bayesian Inference for Nonlinear State Space Models With Univariate Autoregressive State Equation
• tscopula
• svines
• copulareg
• CopulaInference
• simIReff

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