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pyvinecopulib

Build Status License: MIT Codacy Badge Documentation DOI

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.

Prerequisites

  • numpy (>=1.14)
  • To install from source:
    • pybind11 (>=2.4)
    • setuptools (>=30.3.0)
    • setuptools_scm (>=2.0.0)
    • a compiler with C++11 support (Linux, OS X) or Visual Studio 2015 (required for all Python versions, see notes below)
    • Eigen (the environment variable EIGEN3_INCLUDE_DIR must be set to the directory containing the Eigen headers)
    • boost (the environment variable Boost_INCLUDE_DIR must be set to the directory containing the boost headers)

Installation

The easiest way to install the latest release is to use pip:

pip install pyvinecopulib

To install from source, just clone this repository and do pip install. Note the --recursive option which is needed for the vinecopulib and wdm submodules:

git clone --recursive https://github.com/vinecopulib/pyvinecopulib.git
pip install ./pyvinecopulib

Note that Eigen and Boost need to be available on your system for the build to succeed, using the environment variables EIGEN3_INCLUDE_DIR and Boost_INCLUDE_DIR respectively.

Examples

Jupyter notebooks with examples can be found in the examples folder.

Documentation

For documentation of the pyvinecopulib's functionality and instructions how to use it, check out our website or the docs/ folder 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
  • cd pyvinecopulib/docs
  • python3 serve_sphinx.py

License

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

Compiler requirements

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.

Runtime requirements

The Visual C++ 2015 redistributable packages are a runtime requirement for this project.

Contact

If you have any questions regarding the library, feel free to open an issue or send a mail to info@vinecopulib.org.