vinecopulib is 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 multiparameter families.
The library also has interfaces for R and Python.
If you have any questions regarding the library, feel free to open an issue or send a mail to info@vinecopulib.org.
For documentation of the library's functionality and
instructions how to use it, check out our
website or the docs/ folder
in this repository.