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README.md

rvinecopulib

Build status Linux Windows Build status Coverage Status CRAN version CRAN downloads

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.

This package is the R API to the C++ library vinecopulib, a header-only C++ library for vine copula models based on Boost and 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 sleaker and more modern API,
  • shorter runtimes, especially in high dimensions,
  • nonparametric and multi-parameter families,
  • ability to model discrete variables.

As VineCopula, the package is primarily made for the statistical analysis of vine copula models. The package includes tools for parameter estimation, model selection, simulation, and visualization. Tools for estimation, selection and exploratory data analysis of bivariate copula models are also provided. Please see the API documentation for a detailed description of all functions.

Table of contents


How to install

You can install:

  • the stable release on CRAN:

    install.packages("rvinecopulib")
  • the latest development version:

    devtools::install_github("vinecopulib/rvinecopulib")

Package overview

Below, we list most functions and features you should know about. As usual in copula models, data are assumed to be serially independent and lie in the unit hypercube.

Bivariate copula modeling: bicop_dist and bicop

  • bicop_dist: Creates a bivariate copula by specifying the family, rotation and parameters. Returns an object of class bicop_dist. The class has the following methods:

    • print: a brief overview of the bivariate copula.

    • plot, contour: surface/perspective and contour plots of the copula density. Possibly coupled with standard normal margins (default for contour).

  • dbicop, pbicop, rbicop, hbicop: Density, distribution function, random generation and H-functions (with their inverses) for bivariate copula distributions. Additionally to the evaluation points, you can provide either family, rotation and parameter, or an object of class bicop_dist.

  • bicop: Estimates parameters of a bivariate copula. Estimation can be done by maximum likelihood (par_method = "mle") or inversion of the empirical Kendall's tau (par_method = "itau", only available for one-parameter families) for parametric families, and using local-likelihood approximations of order zero/one/two for nonparametric models (nonpar_method="constant"/nonpar_method="linear"/nonpar_method="quadratic"). If family_set is a vector of families, then the family is selected using selcrit="loglik", selcrit="aic" or selcrit="bic". The function returns an object of classes bicop and bicop_dist. The class bicop has the following following methods:

    • print: a more comprehensive overview of the bivariate copula model with fit statistics.

    • predict, fitted: predictions and fitted values for a bivariate copula model.

    • nobs, logLik, AIC, BIC: usual fit statistics.

Vine copula modeling: vinecop_dist and vinecop

  • vinecop_dist: Creates a vine copula by specifying a nested list of bicop_dist objects and a quadratic structure matrix. Returns an object of class vinecop_dist. The class has the following methods:

    • print, summary: a brief and more comprehensive overview of the vine copula.

    • plot: plots of the vine structure.

  • dvinecop, pvinecop, rvinecop: Density, distribution function, random generation for vine copula distributions.

  • vinecop: automated fitting for vine copula models. The function inherits the parameters of bicop. Optionally, a quadratic matrix can be used as input to pre-specify the vine structure. tree_crit describes the criterion for tree selection, one of "tau", "rho", "hoeffd" for Kendall's tau, Spearman's rho, and Hoeffding's D, respectively. Additionally, threshold allows to threshold the tree_crit and trunc_lvl to truncate the vine copula, with threshold_sel and trunc_lvl_sel to automatically select both parameters. The function returns an object of classes vinecop and vinecop_dist. The class has the vinecop has the following following methods:

    • print, summary: a brief and more comprehensive overview of the vine copula with additional fit statistics information.

    • predict, fitted: predictions and fitted values for a vine copula model.

    • nobs, logLik, AIC, BIC: usual fit statistics.

Bivariate copula families

In this package several bivariate copula families are included for bivariate and multivariate analysis using vine copulas. It provides functionality of elliptical (Gaussian and Student-t) as well as Archimedean (Clayton, Gumbel, Frank, Joe, BB1, BB6, BB7 and BB8) copulas to cover a large range of dependence patterns. For Archimedean copula families, rotated versions are included to cover negative dependence as well. Additionally, nonparametric families are also supported.

type name name in R
- Independence "indep"
Elliptical Gaussian "gaussian"
" Student t "student"
Archimedean Clayton "clayton"
" Gumbel "gumbel"
" Frank "frank"
" Joe "joe"
" Clayton-Gumbel (BB1) "bb1"
" Joe-Gumbel (BB6) "bb6"
" Joe-Clayton (BB7) "bb7"
" Joe-Frank (BB8) "bb8"
Nonparametric Transformation kernel "tll"

Note that several convenience vectors of families are included:

  • "all" contains all the families
  • "parametric" contains the parametric families (all except "tll")
  • "nonparametric" contains the nonparametric families ("indep" and "tll")
  • "one_par" contains the parametric families with a single parameter ("gaussian", "clayton", "gumbel", "frank", and "joe")
  • "two_par" contains the parametric families with two parameters ("student", "bb1", "bb6", "bb7", and "bb8")
  • "elliptical" contains the elliptical families
  • "archimedean" contains the archimedean families
  • "BB" contains the BB families
  • "itau" families for which estimation by Kendall's tau inversion is available ("indep","gaussian", "student","clayton", "gumbel", "frank", "joe")

The following table shows the parameter ranges of bivariate copula families with one or two parameters:

Copula family par[1] par[2]
Gaussian (-1, 1) -
Student t (-1, 1) (2,Inf)
Clayton (0, Inf) -
Gumbel [1, Inf) -
Frank R \ {0} -
Joe (1, Inf) -
Clayton-Gumbel (BB1) (0, Inf) [1, Inf)
Joe-Gumbel (BB6) [1 ,Inf) [1, Inf)
Joe-Clayton (BB7) [1, Inf) (0, Inf)
Joe-Frank (BB8) [1, Inf) (0, 1]

References

Aas, K., C. Czado, A. Frigessi, and H. Bakken (2009). Pair-copula constructions of multiple dependence. Insurance: Mathematics and Economics 44 (2), 182-198.

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