EmpCDF()function for the tail corrected empirical CDF.
explicitly export method
RVineMLE() to tighter parameter bounds introduced in previous versions.
RVineSimoptionally accepts a length-
RVineMatrixmodels that must share the same structure, but can differ in in family/parameters (#69, #70). In that case, simulation is vectorized and each draw corresponds to a model specification from the list. Thanks @notEvil.
fixed bug when excluding models from the family set by specifying a negative family index.
throw appropriate error when
treecrit function is misspecified.
fix gcc11 error caused by (redundant)
printError() in C-code.
removed dependencies to packages doParallel and foreach (#67).
get rid of warning messages when checking whether structure is a D-vine.
fix standard errors for one-parameter families.
avoid infinite loop for Joe’s inverse h-function with extreme parameter values.
fix parameters bounds for BB copulas in
fix rotation handling in derivative calculations.
fix check for whether a structure is a D-vine.
fixed typos in API documentation.
fix calculation of Kendall’s tau when joint ties are present.
improved starting parameter for Joe copula MLE.
All C-headers are now located in
Most C routines are registered as C-callable (#47).
RVineMLE can now safely called with only independence copulas (#49).
Fixed fix (non-critical) memory-access bug.
summary.RVineMatrix() invisibly returns a
data.frame containg most of what is printed as output.
Fixed bug in preprocessing of
More informative error message when family is unknown.
presel = TRUE and insufficient data.
method = "itau".
copula (>= 0.999-16). The new version of copula requires VineCopula to be re-installed, because the old
fitCopula()method doesn’t work any longer, but was re-exported by VineCopula.
R (>= 3.1.0). So far, this dependence was implicit trhough our dependence on the copula package.
All estimation functions now have a
method argument. The default is
method = "mle" and corresponds to the old behavior. The other option,
method = "itau", estimates the parameters by inversion of Kendall’s. It is much faster than
method = "mle", but is only available for one-parameter families and the t-copula. Big thanks to Thibault Vatter who did most of the work (PR #25).
RVineMatrixSample that randomly generates valid R-vine matrices using the algorithm of Joe et al. (2011). Contributed by Thibault Vatter (PR #27).
-Select functions now have a
presel argument. If
TRUE (default) the familyset is reduced to families that have asymmetry charactistics that conform with the observed data.
RVinePDF have been implemented in a way that demands less memory. For
RVineLogLik, the option
calculate.V has to be set to
Fixed bug in upper tail dependence coefficient for survival BB1 (reported by Viviana Fernandez, thanks!).
RVineStructureSelect now works in dimension two as well.
RVineMatrixCheck returns the new error code
-4 when the matrix is neither lower nor upper triangular (threw an actual error before).
contour.RVineMatrix now arranges the contour matrix conforming with the family and parameter matrices.
se = FALSE as default throughout the package for faster estimation.
Fixed errors in
BiCopGofTest for the Student t copula and
par2 close to 2 and for most other families for
tau close to 0 (reported by Thong Huy Nguyen, thanks!).
Fix sign in starting parameters for Tawn MLE.
Fixed storage positions of
par2 in output matrix of
RVineMLE (reported by Robin Evans, thanks!).
Return scalar instead of 1-dim array in tau <-> par conversion.
Fix vectorized call of
Negative selection of families is now working properly.
Correct logLik calculation in output of
Dependence measures are updated in output of
Fix bug in annotation of edges with Kendall’s when using
igraph has been removed from
network has been added to
All functions in the package can now handle NAs in the data. A warning message indicates presence of NAs and explains how they are treated.
RVineMatrix objects (now include: associated dependence measures; fit statistics and p-values, if available).
summary for objects of class
New plotting generics:
plot.RVineMatrix for plotting vine trees,
contour.RVineMatrix for a matrix of contour plots,
contour.BiCop as short hand for
plot.BiCop(..., type = "contour").
Etimation of vine copulas (
RVineSeqEst) can now be done in parallel using the
cores argument (based on
foreach) and is more memory efficient (pseudo-observations are discarded as soon they are useless).
RVineStructureSelect now takes an argument
treecrit allowing for several preimplemented (and custom) choices of the edge weight used in Dissmann’s algorithm.
familyset in the -Select functions:
independence copula is handled as a regular family,
negative integers can be used to select from all but a subset of families.
BiCopCompare: A shiny app where the user can visually assess how well several families fit the data.
BiCopKDE for kernel density plots (based on kdecopula package).
BiCopCondSim for conditional simulation from a bivariate copula.
BiCopHinv for computation of inverse h-functions.
BiCopHinv2 that only compute one of the two h-functions (or inverse h-functions).
BiCopCheck for checking of family/parameter consistency.
check.taus argument to the above functions for the option to omit family/parameter consistency checks (for internal usage). When
FALSE, the Clayton and Frank copulas can be used with
par = 0.
Faster implementations of
BiCopTau2Par for Frank copula and
BiCopTau2Par conversion for Joe copula.
Correct call for non-t families in
BiCopHfuncDeriv2(..., deriv = "par1u2").
The S4-class objets of the Tawn copulas pointed to Archimedean CDFs, now corrected to true CDFs based on C-code.
TauMatrix: restriction for input data to be in [0,1] removed.
RVineCopSelect: no printing of family matrix.
Added methods for Pickand’s dependence function “A” for
Use C-code instead of R-code and remove redundant C-code of Tawn copulas.
Small bug fix in log-likelihood for families 3, 4, 7, 17.
Increased upper limit for uniroot in
Fixed rotations of Tawns (they were actually reflection w.r.t. the axes u = 0.5 and u2 = 0.5)
Correct calculation of the goodness-of-fit test based on Whites Information matrix test for bivariate copulas
BiCopGofTest(..., method = "white"). The variance matrix needed for the test statistic had a poor approximation. Thereby the asymptotic p-values are corrected.
Bound parameter ranges for Archimedean copulas to avoid numerical instabilities in -PDF and -Sim functions.
RVineTreePlot: option for a legend (and numbered nodes and edges).
Definition of “C” in BiCopCDF for tawn copulas used constants
u2 instead of arguments
RVineStructureSelect: Adjust to new version of igraph. Tree structure was not selected correctly. igraph function names changed to the names used in the new version. Some small modifications to avoid some for loops and make the code easier to read.
Extend Imports to avoid undefined globals (CRAN E-mail 02.07.2015).
New version requires
igraph (>= 1.0.0).
as.copuladata: coerce to class
pairs plots for objects of class
RVinePDF: PDF of an R-Vine Copula Model.
RVineStructureSelect: add option
rotations = TRUE which augments the familyset with all rotations to a given family.
RVineStructureSelect: allow upper triangular matrices as input (output remains lower triangular).
BiCop objects for bivariate copulas:
BiCop and plotting generic
define results of
add compatibility with other
BiCopXyz functions (
BiCopEst: extend search interval for Tawn MLE to avoid
BiCopEst: fix for optim error (‘non-finite value supplied’).
U so that it corresponds to the order of
RVineCor2pcor: include normalization step for a more intuitive behavior, bug fix for d = 2, 3 and d > 9.
RVinePcor2cor: bug fixes for d = 2 and d > 9.
RVM object now uses variable names as provided by data.
BiCopPar2Tau: fully vectorized (parameter/tau input), and sanity checks extended. Before vector input was not prohibited. However, both functions were not intended to be used for vectorized input.
RVineStructureSelect: Bug concerning the dimensions of input data/security queries fixed (Reported by Sarka Cerna, Radek Solnicky and Ludovic Theate. Thanks a lot!)
RVineStructureSelect: Correct handling of rotated BBs and Tawns.
BiCopEst: Improved starting values for Tawn MLE.
Hfunc1 for Tawns.
Bound all results to lie in [0,1] (
Hinv2 in analogy to
incompleteBeta.c: Misuse of the C function abs (as reported by CRAN) corrected to
gof_PIT.R: Use of
require() replaced by
requireNamespace according to ‘Writing R Extensions’.
ADGofTest removed from
Suggests (see ‘Writing R Extensions’ for usage of Suggests).
Import of function
Bootstrap procedure for the White test (
gof_White) was incorrect. (Reported by Piotr Zuraniewski and Daniel Worm. Thanks!)
Bootstrap procedure for the PIT based and the ECP based test were incorrect. First, C starts to count at 0 not 1. This could result in zero entries in the bootstrapped data matrix. Second, forget to permute vdirect and vindirect according to the permutation of data.
BiCopSelect: For the rotated BB7 and BB8 (
family = 37, 38) the limiting cases were incorrect for very small parameters (copy&paste error). (Reported by Radek Solnicky. Thanks!)
Dependsto the more appropriate
RVineSim allows to commit a
(N x d)-matrix of U[0,1] random variates to be transformed to the copula sample. For example if you want to use quasi random variables instead of the pseudo random variables implemented in R. (Thanks to Marius Hofert)
The package now contains class wrappers that are compatible with the
copula class from the
copula R-package. These include all bivariate families currently implemented: The class representation for different rotated families of e.g the BB6 family are represented as
r270BB6Copula. These bivariate classes are fully compatible with the standard copula methods such as
contour. A vine copula can as well be coerced into a class representation of
vineCopula. However, the support of the standard methods is limited. See the corresponding help pages for details. Earlier introduced R-wrapper of C-functions have been removed, as they are no longer needed by the
RVineLogLik to allow to suppress some debug output.
parscale was not correctly defined for all cases.
RVineBIC: Instead of the function arguments
par2 the calculation was based on
RVM$par2. This is corrected now. (reported by Marcel Duellmann; thanks)
RVineStructureSelect: The new igraph version returned a different variable type causing an error in the second and higher order tree selection.
RVinePIT: calculation of the probability integral transform (PIT) for R-vines.
RVineGofTest: 15 different goodness-of-fit tests for R-vine copulas (Schepsmeier 2013).
print.RVM: A more detailed summary is printed if
print(RVM, detail = TRUE) is set.
BetaMatrix: Matrix of empirical Blomqvist’s beta values.
BiCopPar2Beta: Blomqvist’s beta value of a bivariate copula.
RVinePar2Beta: Blomqvist’s beta values of an R-vine copula model.
RVineCor2pcor: correlations to partial correlations for R-vines.
RVinePcor2cor: partial correlations to correlations for R-vines.
New copula families for most of the BiCop as well as for the
As an asymmetric extension of the Gumbel copula, the Tawn copula with three parameters is now also included in the package. Both the Gumbel and the Tawn copula are extreme-value copulas, which can be defined in terms of their corresponding Pickands dependence functions.
For simplicity, we implemented two versions of the Tawn copula with two parameters each. Each type has one of the asymmetry parameters fixed to 1, so that the corresponding Pickands dependence is either left- or right-skewed. In the manual we will call these two new copulas “Tawn type 1” and “Tawn type 2”.
134 denote the Tawn copula and their rotated versions in the case of left skewness (Tawn type 1).
234 denote the Tawn copula and their rotated versions in the case of right skewness (Tawn type 2).
BiCopPar2Tau: corrected calculation of Kendall’s tau of rotated BB7. (Reported by Giampiero Marra. Thanks!)
RVineStructureSelect: Corrected code for the igraph package.
RVineTreePlot: Now a 3-dimensional R-vine can be plotted too.
Corrected upper tail dependence coefficient for the survival BB1 copula (
Minor improvement in
BiCopSelect regarding the starting values for parameter estimation.
Changed dependency from igraph0 to igraph since the support for igraph0 will be quit soon.
Additional validity check of the R-vine matrix in
RVineMatrix (Code provided by Harry Joe). Also available as separate function
New bivariate copula: Reflection asymmetric Archimedean copula. In our functions it is
family = 41, 51, 61, 71 ( with rotated versions). So far only implemented in some bivariate functions (not documented so far; experimental).
New (correct) examples for the Clarke and Vuong test.
Fixed memory problem in the C-function
BiCopGofTest: Goodness-of-fit test for bivariate copulas based on White’s information matrix equality as introduced by Wanling and Prokhorov (2011). The formally included function
BiCopGofKendall is now part of
method = "kendall").
Additional edge label
RVineTreePlot to display the indices of the (conditioned) pairs of variables identified by the edges.
RVineCopSelect a truncation level can be set.
Improved inverse h-functions for the Gumbel and Joe copulas (thanks to Harry Joe).
C to R wrapping functions for the h-functions (
Hfunc2), the bivariate log-likelihood function (
LL_mod_seperate), the bivariate Archimedean copula CDF (
archCDF) and the simulation function for C- and D-vines (
pcc) (request of Benedikt Graeler for the R-package
The functions R2CVine and R2Dine were removed, since they were only correct in special cases.
Work around for a problem with
optim and the analytical gradient in
Improvement of the bivariate maximum likelihood estimation (
In the functions
BiCopGoFTest(..., method = "Kendall") the t-copula is not implemented any more. The calculation of the CDF was incorrect for non-integer values of the degrees-of-freedom parameter. The implemented algorithm in the
mvtnorm package only works for integer values of the degrees-of-freedom parameter.
Improvement in the calculation of the cdf of the Frank copula (