vinecopulib - vinecopulib 0.7.3

BREAKING API CHANGES

• The mst_algorithm option to FitControlsVinecop has been renamed to tree_algorithm to allow for alternative spanning tree algorithms (#637).
• tree_algorithm's default value is now "mst_prim" instead of "prim", and "mst_kruskal" replaces "kruskal" (#637).
• The CMake option VINECOPULIB_BUILD_SHARED_LIBS has been changed to VINECOPULIB_PRECOMPILED to better reflect its purpose (#641).

NEW FEATURES

• Allow for random spanning trees as alternatives to the MST-based structure selection using tree_algorithm in FitControlsVinecop with "random_weighted" or "random_unweighted" (#637).

BUG FIXES

• Decouple edge insertion from criterion computation in VinecopSelector to fix randomness issues in structure selection when using multiple threads (#640)

- C++
Published by tvatter about 1 year ago

vinecopulib - vinecopulib 0.7.2

BUG FIXES

• more build system updates by @jschueller (#633)

• fix deprecation warning in json header (#634)

• fix TLL speed issues related to FFT (#635)

- C++
Published by tnagler about 1 year ago

vinecopulib - vinecopulib 0.7.1

NEW FEATURES

• add allow_rotation option to FitControlsBicop and FitControlsVinecop to allow for the rotation of the pair copulas (#628).

• add a FitControlsConfig struct to create flexible and yet safe constructors for FitControlsBicop and FitControlsVinecop (#629).

BUG FIXES

• restrict parameter range for fitting Tawn copulas; fix handling of their shape/argument order (#620).

• compute and save loglik/nobs in Vinecop::fit() (#623)

• disable unwanted compiler output related to BOOST_CONCEPT checks (#624)

- C++
Published by tnagler over 1 year ago

vinecopulib - vinecopulib 0.7.0

NEW FEATURES

• Use analytical derivatives in discrete pdf/hfuncs (#572)
• Allow for alternative for "prim" vs "kruskal" in MST-based model selection (#577)
• Improve the dependencies install script to use it in other projects (#576)
• Add tawn copula (#579)
• Improve doc (#580, #585, #607)
• Allow for the discrete Rosenblatt transform (#581)
• Add Vinecop::fit() (#584)
• Improve Bicop::str() (#588) and Vinecop::str() (#589)
• Properly handle discrete variables for the TLL family (#597)
• Weighted pseudo-observations (#602)
• Cross-platform random numbers and add seeds options to to_pseudo_obs (#603)
• Improve performance by
  • aligning with the R defaults (e.g., BOOST_NO_AUTO_PTR, BOOST_ALLOW_DEPRECATED_HEADERS, BOOST_MATH_PROMOTE_DOUBLE_POLICY=false, std::string nonparametric_method = "constant" for the TLL instead of "quadratic", -O3 -march=native compiler flags) and add benchmarking example (#592, #611, #613),
  • using Eigen element-wise operations instead of boost whenever possible (#598, #612),
  • using binary search in the TLL for get_indices (#613).

BUG FIXES

• Improve stability in BB7 PDF (#573)
• Revamped CI/CD pipeline, tests discoverable by CTest, boost version on windows (66cf8b0)
• Fix ASAN issues (#583)
• Fix interface includes and other CMake issue (#586, #599, #601, #608, by @jschueller)

- C++
Published by tnagler over 1 year ago

vinecopulib - vinecopulib 0.6.3

BUG FIXES

• replace bitwise ops on boolean operands (#563)

• handle NaNs in to_pseudo_obs() (#566)

• Replace calls to sprintf in boost libraries (#565)

- C++
Published by tnagler over 3 years ago

vinecopulib - vinecopulib 0.6.2

• updated cmake setup (#549)

• improved documentation (missing data and Rosenblatt transforms)

• better parallelization when there is a small number of edges (#555)

- C++
Published by tnagler almost 4 years ago

vinecopulib - vinecopulib 0.6.1

BREAKING API CHANGES

• refactored serialization using nlohmann::json instead of boost::property_tree (#539):

  • to_json and to_ptree methods of both Bicop and Vinecop objects are respectively renamed as to_file and to_json
  • internal structure of the serialized objects is changed (i.e., not possible to read the old files with the new functions)

BUG FIXES

• use num_threads in recursive calls to the inverse Rosenblatt (#535)

• force TLL to be nonnegative (#532)

• fix number of parameters for TLL (#530)

• fix bugs in Vinecop print methods (#544)

- C++
Published by tnagler almost 5 years ago

vinecopulib - vinecopulib 0.5.5

BUG FIXES

• fix little bug in copula selection based on mBIC (#527)

• stabilize BB7 copula pdf (#526)

• fix threshold selection for (near-)independent data (#523)

• fix Vinecop::select() for 1-dimensional models with discrete variables (#521)

• fix user-visible variable types messed up in Bicop::flip() (#519)

- C++
Published by tnagler over 5 years ago

vinecopulib - vinecopulib 0.5.4

BUG FIXES

• fix uninitialized number of parameters for TLL family (#515)

• fix Kendall's tau of Frank copula for par <= 3 (#513)

• fix Vinecop::pdf() when discrete variables are present (#514)

- C++
Published by tnagler over 5 years ago

vinecopulib - vinecopulib 0.5.3

NEW FEATURES

• allow 1-dimensional models (#499)

• make AIC default selection criterion (#502)

BUG FIXES

• make Bicop/Vinecop objects indepent of copied-from-objects (#503)

• enforce parameters bounds in tautoparameters for Archimedean families (#507)

- C++
Published by tnagler almost 6 years ago

vinecopulib - vinecopulib 0.5.2

NEW FEATURES

• str() methods for FitControlsBicop and FitControlsVinecop (#494)

BUG FIXES

• fix documentation (#482, #493)

• fix bug in RVineStructure::simulate() (#492)

• fix tll family with comonotonic data (#491)

• fix weights handling in family preselection (#490)

• fix archimidean h-functions near independence (#488)

• safety net for NA structure weights (#487)

• fix code qix quality issues (#486)

• fix Vinecop::str() (#484)

- C++
Published by tnagler about 6 years ago

vinecopulib - vinecopulib 0.5.1

BUG FIX

• fix out of range bug for weighted TLL influence when sample size is small (#479).

- C++
Published by tnagler over 6 years ago

vinecopulib - vinecopulib 0.5.0

NEW FEATURES

• modelling discrete variables with bivariate or vine copulas. (#454)

• selection of partially specified R-vine structures. (#457)

• convenience classes DVineStructure()/CVineStructure() for D- and C-vine structures. (#464)

• new criterion for tree selection: "joe" corresponds to -log(1-r^2), where r is the pairwise partial correlation. (#426)

• random sampling of R-vine structures. (#429)

• (de)serialization methods to/from_ptree/json() for RVineStructure objects. (#435)

• some improvements in memory efficiency. (#460)

BREAKING API CHANGES

• Vinecop ctors: interchanged order of structure and pair_copulas, removed unpopular versions, new argument var_types. (#465)

• removed tools_stats::simulate_uniform(n, d, seeds) to avoid implicit conversion. (#430)

• calculate_npars() becomes get_npars(). (#431)

• by default, RVineStructure::get_struct_array() and RVineStructure::struct_array() objects return the structure array in the original order (as opposed to natural order). An additional argument is available to ask for the old behavior. (#437, #439)

• removed TriangularArray<T>::operator[] to access columns. TriangularArrays are now stored row-major and provide a new constructor TriangularArray<T>(std::vector<std::vector<T>> rows). (#433)

BUG FIXES AND OTHER IMPROVEMENTS

• better support for 0-truncated structures. (#462)

• prevent 0/0 in normalization of BicopFamily::tll fits. (#463)

• use std::shufle() instead of std::random_shuffle() to remain
  C+17-compliant. (#451)

• ensure consistency in manually created Bicop(BicopFamily::tll, ...), with fitted versions. (#446)

• fixed order of ranks in to_pseudo_obs(.., "first"). (#469)

• safer computation of multivariate normal cdf. (#475)

- C++
Published by tnagler over 6 years ago

vinecopulib - vinecopulib 0.3.2

NEW FEATURES

• new Vinecop::str() method (#420)

• enhanced extensibility of RVineStructure, Vinecop, and VinecopSelector classes and (#419)

BUG FIXES

• fix interval adjustment for Brent parameter optimization (#414)

• clean up includes to improve build times (#412)

• better printing for tll family (#415)

• fix batches when num_threads = 0 (#418)

- C++
Published by tnagler almost 7 years ago

vinecopulib - vinecopulib 0.3.1

NEW FEATURES

• refactoring for enhanced extensibility of the class Vinecop (#407)

• add an str method to RVineStructure (#406)

• simplify algorithms by reversing definition of natural order (#387)

• improve selection of truncation level (#373)

• add truncate methods for TriangularArray, RVineStructure and Vinecop (#372)

DEPRECATED FUNCTIONS

• FitControlsVinecop methods like get_truncation_level() are now deprecated in favor of the shorter get_trunc_lvl() versions.

BUG FIXES

• fix triangular array print method (#405)

• fix potential nan when using Kendall's tau inversion to fit (#403)

• stabilize clayton pdf close to independence (#402)

• fix warning-generating typos in the tests (#391)

• fix deprecated warnings from gtest (#390)

• initializer list constructor for VinecopSelector (#384)

• fix baseline criterion in Bicop::select() (#382)

• use the trunc_lvl of vine_struct in select_families (#380)

• fix incompatible size (#378)

• remove definitions of pairwise_rho and pairwise_hoeffd (#375)

• fix windows warnings (#371)

• use std::log() (#370)

- C++
Published by tnagler about 7 years ago

vinecopulib - vinecopulib 0.3.0

NEW FEATURES

• new function Vinecop::rosenblatt() for computing the Rosenblatt transformation (#367).

• faster algorithms for nonparametric copulas based on bilinear interpolation (#357).

• refactor vine structures and related algorithms with triangular arrays to improve efficiency of truncated models (#347, #354, #365).

• improve random number generation: allow for seeds and quasi-random numbers (#342, #356).

• improved parallelization for fitting vine copula models (#338, #344).

• parallelized versions of many algorithms including pdf, cdf and simulation (#339, #363).

• allow weights for observations (#336).

BUG FIXES

• fix cdf of StudentBicop (#353).

• improve numerical stability (#345, #350).

• fix gcc-8 warning (#340).

- C++
Published by tvatter almost 8 years ago

vinecopulib - vinecopulib 0.2.8

NEW FEATURES

• new getters for Kendall's tau (#319).

• log-likelihood as a new data member for AbstractBicop and Vinecop (loglik_), initialized as NAN and set by fitting routines like fit and select (#327).

• new getters for the log-likelihood (#327).

BUG FIXES

• fix truncation of pdf values (#320).

• use increased search interval for parameter estimation when initial fit is unreasonable (#322).

• ensure that boundaries are respected for Joe's hinv methods (#323).

• improve numerical stability by more restrictive parameter bounds for Joe and BB7 copulas (#324, #325).

• bandwidth adjustment for family "tll" (#326).

- C++
Published by tnagler about 8 years ago

vinecopulib - vinecopulib 0.2.7

NEW FEATURES

• new criterion for tree selection "mcor" (#309).

BUG FIXES

• fix bandwidth scaling for family "tll"(#309).

- C++
Published by tvatter over 8 years ago

vinecopulib - vinecopulib 0.2.6

NEW FEATURES

• add checks for data in (0, 1) (#305).

• add scaling by mcor to estimate the bandwidth of TllBicop (#302) .

• add mBICV to select the truncation level and threshold (#304).

BUG FIXES

• improve Windows build (#301, #302).

• fix hoeffd in calculate_criterion (#297).

- C++
Published by tvatter over 8 years ago

vinecopulib - vinecopulib 0.2.5

NEW FEATURES

• speed up vine copula algorithms by pre-computing information related to the vine structure (#292).

• the selected threshold parameter can be returned from the Vinecop object (#290).

BUG FIXES

• fix storage order of pair copulas when structure is fixed (#289).

• fixed selection algorithm for threshold and truncation level (#290, #294, #295).

- C++
Published by tvatter over 8 years ago

vinecopulib - vinecopulib 0.2.4

BUG FIXES

• adapt Vinecop's simulate() and pdf() to truncated vines (#279)

• make bb8 lower bound ensure feasible computations in parameters_to_tau() (#278 and #280)

• default initialize Rcout (#277).

- C++
Published by tvatter over 8 years ago

vinecopulib - vinecopulib 0.2.3

NEW FEATURES

• faster implementation of Archimedean pdfs (#274)

BUG FIXES

• add safeguards for bicop/vinecop when not enough data (#273)

• fix segfault problem in complete_matrix() (#272)

• make getstartparameters() respect the bounds (#271)

- C++
Published by tvatter over 8 years ago

vinecopulib - vinecopulib 0.2.2

NEW FEATURES

• allow "loglik" as selection criterion (#267).

BUG FIXES

• make interpolation grid symmetric around (0.5, 0.5) again (#268).

- C++
Published by tnagler over 8 years ago

vinecopulib - vinecopulib 0.2.1

NEW FEATURES

• faster vine copula estimation and selection by parallelizing further sub-routines (#259).

• enhanced cross-platform compatibility and addition of a STRICT_COMPILER option for gcc (#261).

• increased precision of maximum-likelihood estimators (#264).

BUG FIXES

• made arguments of pairwise dependence measures consistent (#258).

• fixed itau estimation method for Frank copulas (only allowed for positive parameters) (#263).

- C++
Published by tvatter over 8 years ago

vinecopulib - vinecopulib 0.2.0

LIBRARY TYPE

• library is now header only by default (#246), with an option to compile it as a shared library (#249).

DEPENDENCIES

• removed dependency on NLopt (#239).

NEW FEATURES

• NA handling (#237, #238).

• parallelized selection/estimation of (pair-) copulas (#240).

• efficient storage and fitting of truncated vines (#248).

• Brent line search for (profile-) maximum-likelihood estimation of one-parameter families (#255).

• more restrictive parameter bounds for Archimedean families, ensuring their numerical stability (#256).

BUG FIXES

• error thrown whenever Vinecop or Bicop constructors are called with datasets containing a single row (#251).

• ensure const correctness of Vinecop and Bicop member functions (#225).

• made order of inverse Rosenblatt consistent for d = 2 and d > 2 (#232).

• fixed bug in interpolation near upper right corner (#233).

• interpolation grid is now symmetric around (0.5, 0.5) (#234).

• stabilized quadratic tll estimator near zero (#235).

• stabilized Archimedean pdfs (#256).

- C++
Published by tnagler over 8 years ago

vinecopulib - vinecopulib 0.1.0

NEW FEATURES

• read/write Bicop and Vinecop objects (#205) using boost::property_tree::ptree with to_ptree(), to_json(), and constructors taking const char *filename or a boost::property_tree::ptree for both classes.

• sparse selection of vine copulas (#206) using new data members in FitControlsVinecop: * bool select_truncation_level whether the truncation is selected automatically. * bool select_threshold whether the threshold parameter is selected automatically. * double threshold sets a fixed threshold parameter.

• local likelihood estimators (#216) have been implemented by refactoring the tll0 family into a more general tll family, where approximations of degrees zero, one and two can be fitted by setting the new std::string nonparametric_method data member of FitControlsBicop respectively as constant, linear and quadratic (default).

• Kendall's tau (#211) and normalization (#215) for kernel estimators.

• support for clang compiler on linux (#201, #202, #203).

• option to omit R-vine matrix check in Vinecop constructors (#198).

BUG FIXES

• replacing throw std::string with throw std::runtime_error in tools_opimization.cpp (#204).

• ensure valid starting parameters in Bicop::fit() (#209, #210).

• fix appveyor and travis problems (#208, #212, #213).

- C++
Published by tnagler almost 9 years ago

vinecopulib - vinecopulib v0.0.3

NEW FEATURES

• new functions Bicop::cdf() and Vinecop::cdf() for evaluating the cumulative distribution function of bivariate and vine copulas (#177, #189).

• the constructor of the RVineMatrix class now checks whether it is provided with a valid R-vine matrix (#192).

• extended documentation to build the library under Windows (#188).

• extended continuous integration tests for Windows (#150, #169).

BUG FIXES

• vinecopulib.dll is installed to lib/ instead of bin/ (#149).

• more pleasing and portable formatting of error messages (#147, #156, #159, #165).

• fixed bugs in Bicop::select() caused by 0s and 1s or unsufficient data (#173, #180).

• fixed compatibility issue with CMake 3.8 (#167).

• fixed uninitialized memory issues on Windows (#169).

- C++
Published by tnagler almost 9 years ago

vinecopulib - vinecopulib 0.0.2

MAJOR CHANGES

• all tools_xxx namespaces are now sub-namespaces of vinecopulib (#130).

  • header files are encapsulate in an addtional vinecopulib/ folder, i.e., include/vinecopulib/subdir/file.hpp (#126).
  • removed abitility to extract the git revision (#124).
  • new header misc/tools_interface.hpp where interface-specific behavior can be defined (for example, a custom version of std::cout) (#136).

BUG FIXES

• fix mat.array() = 0 error on some compilers (#131).

  • add missing <exception> header (caused errors on not fully C++11 compliant compilers, #139).

- C++
Published by tnagler about 9 years ago

vinecopulib - Patched first release

• improve test coverage and CI integration.
• use size_t instead of int where appropriate.

- C++
Published by tvatter about 9 years ago