Package: CDVineCopulaConditional 0.1.1

Emanuele Bevacqua

CDVineCopulaConditional: Sampling from Conditional C- and D-Vine Copulas

Provides tools for sampling from a conditional copula density decomposed via Pair-Copula Constructions as C- or D- vine. Here, the vines which can be used for such a sampling are those which sample as first the conditioning variables (when following the sampling algorithms shown in Aas et al. (2009) <doi:10.1016/j.insmatheco.2007.02.001>). The used sampling algorithm is presented and discussed in Bevacqua et al. (2017) <doi:10.5194/hess-2016-652>, and it is a modified version of that from Aas et al. (2009) <doi:10.1016/j.insmatheco.2007.02.001>. A function is available to select the best vine (based on information criteria) among those which allow for such a conditional sampling. The package includes a function to compare scatterplot matrices and pair-dependencies of two multivariate datasets.

Authors:Emanuele Bevacqua [aut, cre]

CDVineCopulaConditional_0.1.1.tar.gz
CDVineCopulaConditional_0.1.1.tar.gz(r-4.5-noble)CDVineCopulaConditional_0.1.1.tar.gz(r-4.4-noble)
CDVineCopulaConditional_0.1.1.tgz(r-4.4-emscripten)CDVineCopulaConditional_0.1.1.tgz(r-4.3-emscripten)
CDVineCopulaConditional.pdf |CDVineCopulaConditional.html✨
CDVineCopulaConditional/json (API)

# Install 'CDVineCopulaConditional' in R:
install.packages('CDVineCopulaConditional', repos = 'https://cloud.r-project.org')
Datasets:
  • dataset - Random dataset from a given vine copula model

On CRAN:

Conda:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

1.60 score 4 stars 309 downloads 5 exports 6 dependencies

Last updated 8 years agofrom:d76583cfb2. Checks:3 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKMar 18 2025
R-4.5-linuxOKMar 18 2025
R-4.4-linuxOKMar 18 2025

Exports:CDVineCondFitCDVineCondListMatricesCDVineCondRankCDVineCondSimoverplot

Dependencies:ADGofTestcombinatlatticeMASSmvtnormVineCopula

Citation

To cite CDVineCopulaConditional in publications use:

Emanuele Bevacqua (2017). CDVineCopulaConditional: Sampling from Conditional C- and D-Vine Copulas. R package version 0.1.0

Bevacqua, E., Maraun, D., Hobaek Haff, I., Widmann, M., and Vrac, M.: Multivariate Statistical Modelling of Compound Events via Pair-Copula Constructions: Analysis of Floods in Ravenna, Hydrol. Earth Syst. Sci. Discuss., <doi:10.5194/hess-2016-652>, in review, 2017.

Corresponding BibTeX entries: 

  @Manual{,
    title = {CDVineCopulaConditional: Sampling from Conditional C- and
      D-Vine Copulas},
    author = {Emanuele Bevacqua},
    year = {2017},
    note = {R package version 0.1.0},
    url = {https://CRAN.R-project.org/package=CDVineCopulaConditional},
  }

  @Article{,
    title = {Multivariate Statistical Modelling of Compound Events via
      Pair-Copula Constructions: Analysis of Floods in Ravenna},
    author = {Emanuele Bevacqua and Douglas Maraun and Ingrid Hobaek
      Haff and Martin Widmann and Mathieu Vrac},
    journal = {Hydrology and Earth System Science Discussion},
    year = {2017},
    doi = {10.5194/hess-2016-652},
    url =
      {http://www.hydrol-earth-syst-sci-discuss.net/hess-2016-652/hess-2016-652.pdf},
  }