What are vine copulas?
Vine copulas are a flexible class of dependence models consisting of bivariate building blocks (see e.g., Aas et al., 2009). You can find a comprehensive list of publications and other materials on vine-copula.org.
What is pyvinecopulib?
pyvinecopulib is the python interface to vinecopulib, a header-only C++ library for vine copula models based on Eigen. It provides high-performance implementations of the core features of the popular VineCopula R library, in particular inference algorithms for both vine copula and bivariate copula models. Advantages over VineCopula are
- a stand-alone C++ library with interfaces to both R and Python,
- a sleaker and more modern API,
- shorter runtimes and lower memory consumption, especially in high dimensions,
- nonparametric and multi-parameter families.
- numpy (>=1.14)
- pybind11 (>=2.4)
- setuptools (>=30.3.0)
- setuptools_scm (>=2.0.0)
- To install from source: a compiler with C++11 support (Linux, OS X) or Visual Studio 2015 (required for all Python versions, see notes below)
The easiest way to install the latest release is to use
pip install pyvinecopulib
To install from source, just clone this repository and do
--recursive option which is needed for the
git clone --recursive https://github.com/vinecopulib/pyvinecopulib.git pip install -r ./pyvinecopulib/requirements.txt pip install ./pyvinecopulib
Jupyter notebooks with examples can be found in the examples folder.
For documentation of the
pyvinecopulib's functionality and
instructions how to use it, check out our
website or the
in this repository.
Building the documentation
Documentation for the example project is generated using Sphinx and the "Read the Docs" theme. The following command generates HTML-based reference documentation; for other formats please refer to the Sphinx manual:
pip install sphinx-rtd-theme
pyvinecopulib is provided under an MIT license that can be found in the LICENSE file. By using, distributing, or contributing to this project, you agree to the terms and conditions of this license.
Special notes for Windows
This package requires a C++11 compliant compiler, i.e Visual Studio 2015 on Windows. Unlike regular C extension modules, it's perfectly fine to compile a pyvinecopulib module with a VS version newer than the target Python's VS version.
The Visual C++ 2015 redistributable packages are a runtime requirement for this project.