dcvar: Dynamic Copula VAR Models for Time-Varying Dependence

Fits Bayesian copula vector autoregressive models for bivariate time series with dynamic, regime-switching, and constant dependence structures. The package includes simulation, data preparation, estimation with 'Stan' through 'rstan' or 'cmdstanr', posterior summaries, diagnostics, trajectory extraction, fitted and predictive summaries, and approximate leave-one-out cross-validation model comparison for supported fits. For Bayesian computation and model comparison, see Carpenter et al. (2017) <doi:10.18637/jss.v076.i01> and Vehtari, Gelman and Gabry (2017) <doi:10.1007/s11222-016-9696-4>.

Version:	0.1.0
Depends:	R (≥ 4.1.0)
Imports:	rstan (≥ 2.26.0), posterior (≥ 1.5.0), loo (≥ 2.7.0), ggplot2 (≥ 3.4.0), patchwork (≥ 1.1.0), bayesplot (≥ 1.10.0), rlang (≥ 1.0.0), cli (≥ 3.0.0), parallel, stats, tools, utils
Suggests:	cmdstanr (≥ 0.8.0), testthat (≥ 3.0.0), knitr, rmarkdown, withr, sn
Published:	2026-04-22
DOI:	10.32614/CRAN.package.dcvar
Author:	Benedikt Lugauer [aut, cre]
Maintainer:	Benedikt Lugauer <benedikt.lugauer at uni-leipzig.de>
BugReports:	https://github.com/benlug/dcvar/issues
License:	GPL (≥ 3)
URL:	https://github.com/benlug/dcvar
NeedsCompilation:	no
Additional_repositories:	https://stan-dev.r-universe.dev
Language:	en-US
Citation:	dcvar citation info
Materials:	README, NEWS
CRAN checks:	dcvar results

Documentation:

Reference manual:	dcvar.html , dcvar.pdf
Vignettes:	Getting Started with dcvar (source, R code) Comparing Copula VAR Models (source, R code) Simulation Study Tools (source, R code)

Downloads:

Package source:	dcvar_0.1.0.tar.gz
Windows binaries:	r-release: dcvar_0.1.0.zip, r-oldrel: dcvar_0.1.0.zip
macOS binaries:	r-release (arm64): dcvar_0.1.0.tgz, r-oldrel (arm64): dcvar_0.1.0.tgz, r-release (x86_64): dcvar_0.1.0.tgz, r-oldrel (x86_64): dcvar_0.1.0.tgz

Linking:

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