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I was comparing BiCopPDF to dCopula and got nearly perfect agreement, but ~0.1% of the values would strongly disagree, with BiCopPDF getting something O(10^5) and dCopula getting 0. It turns out this is when the CDF value of the input is near the maximum. I made the following minimum working example:
I am not sure what you see as a bug in your example code.
Note that the true value of the Gaussian copula pdf at (1,1) would be Inf for rho > 0 and 0 for rho < 0. To avoid numerical instability, VineCopula never evaluates the density at values smaller than 1e-10 or larger than 1 - 1e-10. So:
I was comparing BiCopPDF to dCopula and got nearly perfect agreement, but ~0.1% of the values would strongly disagree, with BiCopPDF getting something O(10^5) and dCopula getting 0. It turns out this is when the CDF value of the input is near the maximum. I made the following minimum working example:
With this example, I get different values every time I run this, with the last number in the printout giving anything from 0.0001 to 8.
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