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NEW FEATURES
EmpCDF() function for the tail corrected empirical
CDF.BUG FIXES
better sanity checks for family argument.
fix C-loop in BiCopGofTest().
fix NA handling in pobs().
BUG FIXES
explicitly export method dim.RVineMatrix().
adapt RVineMLE() to tighter parameter bounds
introduced in previous versions.
BUG FIXES
Fix inversion of Kendall’s tau for Frank copula (#78, #79, thanks to @oezgesahin).
Increased precision in boundary of unit cube (#77).
BUG FIXES
Improved numeric stability by more conservative parameter bounds (#74, thanks to @oezgesahin).
Removed all calls to closeAllConnections().
DEPENDS
CDVine from Suggests.NEW FEATURES
RVineSim optionally accepts a length-N
list of RVineMatrix models 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.BUG FIXES
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.
DEPENDENCIES
removed dependencies to packages doParallel and foreach (#67).
moved packages kdecopula and network to Suggests.
They need to be installed manually for BiCopKDE() and
plot.RVineMatrix() to work (#67).
removed dependency to package copula. All functionality extending copula will be provided by the VC2copula package: https://github.com/tnagler/VC2copula (#67).
BUG FIXES
stricter upper bound for Gumbel parameters to avoid numerical issues.
fix bug in BiCopEst() when the parameter is slightly
beyond parameter bounds (#64, thanks to @notEvil).
NEW FEATURES
presel and weights arguments to
RVineStructureSelect and RVineCopSelect() (#59
by @tvatter).BUG FIXES
fix variance in RVineVuongTest().
fix pre-selection logic in BiCopSelect() when only
one family is compatible.
fix length(condition) > 1 errors.
BUG FIXES
BiCopHfuncDeriv(2)
(non-critical).BUG FIXES
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
RVineMLE().
BUG FIXES
fix rotation handling in derivative calculations.
fix check for whether a structure is a D-vine.
fixed typos in API documentation.
NEW FEATURES
BUG FIXES
fix calculation of Kendall’s tau when joint ties are present.
fix missing pair.AIC/BIC in
RVineSeqEst().
improved starting parameter for Joe copula MLE.
NEW FEATURES
All C-headers are now located in
inst/include/VineCopula (#48).
Most C routines are registered as C-callable (#47).
BUG FIXES
RVineMLE can now safely called with only
independence copulas (#49).
Fixed fix (non-critical) memory-access bug.
NEW FEATURES
summary.RVineMatrix() invisibly returns a
data.frame containg most of what is printed as
output.
Less restrictive conditions on what is considered an appropriate
treecrit function in RVineStructureSelect()
(thanks to Thibault Vatter, #40).
New option verbose in RVinePDF()
(thanks to @cag51,
#36).
BUG FIXES
Fix parameter bounds in RVineMLE() corresponding to
updated requirements in BiCop-functions.
Adapt to re-naming of tailIndex to
lambda in the copula package (thanks to Benedikt Graeler,
#41, #42).
Fix bug in detecting C-vine copulas for
summary/print.RVineMatrix() (#38).
NEW FEATURES
Online API documentation on https://tnagler.github.io/VineCopula/.
Faster BiCopCDF().
BUG FIXES
Fixed bug in preprocessing of weights
argument.
More informative error message when family is unknown.
Safer BiCopSelect() with presel = TRUE
and insufficient data.
Fixed RVineMatrix() (output dimension was
d-1 and naturalOrder = TRUE wasn’t working,
thanks @tvatter).
Safer BiCopEst() for
method = "itau".
IMPORTS
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.NEW FEATURES
LinkingTo field.DEPENDS
R (>= 3.1.0). So far, this
dependence was implicit trhough our dependence on the copula
package.NEW FEATURES
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).
New function RVineMatrixSample that randomly
generates valid R-vine matrices using the algorithm of Joe et
al. (2011). Contributed by Thibault Vatter (PR #27).
Faster versions of RVineMatrix and
RVineCopSelect, and RVineStructureSelect by
avoiding unnecessary computations (thanks to Thibault Vatter, PRs #29
and #31).
All -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.
RVineSim, RVineLogLik, and
RVinePDF have been implemented in a way that demands less
memory. For RVineLogLik, the option
calculate.V has to be set to TRUE.
BUG FIXES
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.
DEPENDS
BUG FIXES
Use 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!).
NEW FEATURES
contour.RVineMAtrix.BUG FIXES
Return scalar instead of 1-dim array in tau <-> par conversion.
Fix vectorized call of BiCopCDF.
Negative selection of families is now working properly.
Correct logLik calculation in output of
RVineMLE.
Dependence measures are updated in output of
RVineCor2pcor.
Fix bug in annotation of edges with Kendall’s when using
plot.RVineMatrix.
BUG FIXES
MAINTAINER
DEPENDS
igraph has been removed from Imports.
network has been added to Imports.
NEW FEATURES
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.
Extend BiCop and RVineMatrix objects
(now include: associated dependence measures; fit statistics and
p-values, if available).
New methods print and summary for
objects of class BiCop and
RVineMatrix.
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").
Vectorize BiCopXyz-functions w.r.t.
family, par, par2:
in C: BiCopPDF, BiCopHfunc,
BiCopHinv, BiCopDeriv,
BiCopDeriv2, BiCopHfuncDeriv,
BiCopHfuncDeriv2.
in R: BiCopCDF, BiCopPar2Tau,
BiCopPar2Beta, BiCopPar2TailDep.
Etimation of vine copulas (RVineStructureSelect,
RVineCopSelect, 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.
Treatment of 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.
New function BiCopCompare: A shiny app where the
user can visually assess how well several families fit the
data.
New function BiCopKDE for kernel density plots
(based on kdecopula package).
New function BiCopCondSim for conditional simulation
from a bivariate copula.
New function BiCopHinv for computation of inverse
h-functions.
New functions BiCopHfunc1, BiCopHfunc2,
BiCopHinv1, and BiCopHinv2 that only compute
one of the two h-functions (or inverse h-functions).
New function BiCopCheck for checking of
family/parameter consistency.
Add check.pars/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
BiCopPar2Tau/BiCopTau2Par for Frank copula and
BiCopTau2Par conversion for Joe copula.
BUG FIXES
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
tawnT1Copula, surTawnT1Copula,
tawnT2Copula and surTawnT2Copula.
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
Joe.itau.JJ.
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.
DEPENDS:
BUG FIXES:
NEW FEATURES
RVineTreePlot: option for a legend (and numbered nodes
and edges).BUG FIXES
Definition of “C” in BiCopCDF for tawn copulas used constants
u1 and u2 instead of arguments u
and v.
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.
IMPORTS
Extend Imports to avoid undefined globals (CRAN E-mail 02.07.2015).
New version requires igraph (>= 1.0.0).
NEW FEATURES
as.copuladata: coerce to class
copuladata.
pairs.copuladata: pairs plots for
objects of class copuladata.
RVinePDF: PDF of an R-Vine Copula Model.
BiCopSelect, RVineCopSelect,
RVineStructureSelect: add option
rotations = TRUE which augments the familyset with all
rotations to a given family.
RVineMatrix, RVineStructureSelect:
allow upper triangular matrices as input (output remains lower
triangular).
BiCop objects for bivariate copulas:
add constructor BiCop and plotting generic
plot.BiCop.
define results of BiCopEst/BiCopSelect
as BiCop objects.
add compatibility with other BiCopXyz functions
(BiCopPDF, BiCopPar2Tau, etc.).
BUG FIXES
BiCopEst: extend search interval for Tawn MLE to
avoid optim-errors.
BiCopEst: fix for optim error (‘non-finite value
supplied’).
RVineSim: reorder U so that it
corresponds to the order of RVM.
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 \(d
> 9\).
RVineCopSelect: RVM object now uses
variable names as provided by data.
NEW FEATURES
BiCopTau2Par and 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.NEW AUTHOR
NEW FEATURES
BUG FIXES
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.
BiCopSelect, BiCopEst: Improved
starting values for Tawn MLE.
hfunc.c:
Correct Hfunc1 for Tawns.
Bound all results to lie in [0,1] (Hfunc1 and
Hfunc2)
Extension of Hinv1 and Hinv2 in analogy
to Hfunc1 and Hfunc2.
incompleteBeta.c: Misuse of the C function abs (as
reported by CRAN) corrected to fabs.
gof_PIT.R: Use of require() replaced by
requireNamespace according to ‘Writing R
Extensions’.
Package ADGofTest removed from Suggests
(see ‘Writing R Extensions’ for usage of Suggests).
Import of function ad.test from
ADGofTest for gof_PIT.R.
BUG FIXES
Bootstrap procedure for the White test
(RVineGofTest, 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!)
MAINTAINER
NEW FEATURES
IMPORTS
Depends to the more appropriate
Import field.NEW FEATURES
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 BB6Copula, r90B6Copula,
surBB6Copula and r270BB6Copula. These
bivariate classes are fully compatible with the standard copula methods
such as dCopula, pCopula, rCopula
or fitCopula including persp and
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 spcopula
R-package.
Added parameter verbose to RVineLogLik
to allow to suppress some debug output.
BUG FIXES
RVineMLE: the optim argument
parscale was not correctly defined for all cases.
RVineAIC/RVineBIC: Instead of the
function arguments par and par2 the
calculation was based on RVM$par and RVM$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.
NEW FEATURES
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
RVine-functions:
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”.
The families 104, 114,
124, 134 denote the Tawn copula and their
rotated versions in the case of left skewness (Tawn type 1).
The families 204, 214,
224, 234 denote the Tawn copula and their
rotated versions in the case of right skewness (Tawn type 2).
BUG FIXES
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 (BiCopPar2TailDep).
Minor improvement in BiCopSelect regarding the
starting values for parameter estimation.
DOCUMENTAION
NEW AUTHOR
NEW FEATURES
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 RVineMatrixCheck.
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).
BUG FIXES
New (correct) examples for the Clarke and Vuong test.
Fixed memory problem in the C-function ktau
(TauMatrix).
BUG FIXES
NEW FEATURES
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 BiCopGofTest
(method = "kendall").
Additional edge label pair in
RVineTreePlot to display the indices of the (conditioned)
pairs of variables identified by the edges.
In RVineStructureSelect and
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
(Hfunc1, 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 spcopula).
The functions R2CVine and R2Dine were removed, since they were only correct in special cases.
BUG FIXES
Work around for a problem with optim and the
analytical gradient in BiCopEst.
Improvement of the bivariate maximum likelihood estimation
(BiCopEst).
In the functions BiCopCDF and
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
(BiCopCDF).
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.