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 = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Datasets:
  • dataset - Random dataset from a given vine copula model

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

1.48 score 3 stars 7 scripts 249 downloads 5 exports 6 dependencies

Last updated 7 years agofrom:d76583cfb2. Checks:OK: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKDec 18 2024
R-4.5-linuxOKDec 18 2024

Exports:CDVineCondFitCDVineCondListMatricesCDVineCondRankCDVineCondSimoverplot

Dependencies:ADGofTestcombinatlatticeMASSmvtnormVineCopula