VineCopula - VineCopula 2.6.1

BUG FIXES

• Allow for tau = 0 in Kendall's tau inversion for the Frank copula.

• Remove true/false C macro from header files.

- R
Published by tnagler 11 months ago

VineCopula - VineCopula 0.2.6

NEW FEATURES

• add RVineCDF() function for cumulative distribution of vine copulas models (#97).

BUG FIX

• Fix read past parameter boundary in difflPDF_mod (non-critical).

- R
Published by tnagler about 1 year ago

VineCopula - VineCopula 2.5.0

NEW FEATURES

• add EmpCDF() function for the tail corrected empirical CDF.

- R
Published by tnagler over 2 years ago

VineCopula - VineCopula 2.4.5

BUG FIXES

• better sanity checks for family argument.

• fix C-loop in BiCopGofTest().

• fix NA handling in pobs().

- R
Published by tnagler about 3 years ago

VineCopula - VineCopula 2.4.4

BUG FIXES

• explicitly export method dim.RVineMatrix().

• adapt RVineMLE() to tighter parameter bounds introduced in previous versions.

- R
Published by tnagler over 3 years ago

VineCopula - VineCopula 2.4.3

• Fix inversion of Kendall's tau for Frank copula (#78, #79, thanks to @oezgesahin).

• Increased precision in boundary of unit cube (#77).

- R
Published by tnagler over 4 years ago

VineCopula - VineCopula 2.4.2

• Improved numeric stability by more conservative parameter bounds (#74, thanks to @oezgesahin).

• Removed all calls to closeAllConnections().

- R
Published by tnagler over 4 years ago

VineCopula - VineCopula 2.4.1

DEPENDS

• Removed archived package CDVine from Suggests.

- R
Published by tnagler over 5 years ago

VineCopula - VineCopula 2.4.0

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.

- R
Published by tnagler over 5 years ago

VineCopula - VineCopula 2.3.0

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).

- R
Published by tnagler about 6 years ago

VineCopula - VineCopula 2.2.0

NEW FEATURES

• add 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.

- R
Published by tnagler over 6 years ago

VineCopula - VineCopula 2.1.8

BUG FIXES

• prevent heap-buffer overflows in BiCopHfuncDeriv(2) (non-critical).

- R
Published by tnagler over 7 years ago

VineCopula - VineCopula 2.1.7

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().

- R
Published by tnagler over 7 years ago

VineCopula - VineCopula 2.1.6

BUG FIXES

• fix rotation handling in derivative calculations.

• fix check for whether a structure is a D-vine.

• fixed typos in API documentation.

- R
Published by tnagler over 7 years ago

VineCopula - VineCopula 2.1.5

NEW FEATURES

• no family restrictions for RVinePIT.

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.

- R
Published by tnagler almost 8 years ago

VineCopula - VineCopula 2.1.4

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.

- R
Published by tnagler almost 8 years ago

VineCopula - VineCopula 2.1.3

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).

- R
Published by tnagler over 8 years ago

VineCopula - VineCopula 2.1.2

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".

- R
Published by tnagler almost 9 years ago

VineCopula - VineCopula 2.1.1

Follow-up release to the new version of copula.

IMPORTS - Package now requires 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 - Package developers can use the VineCopula C-functionality by linking against VineCopula through the LinkingTo field.

- R
Published by tnagler about 9 years ago

VineCopula - VineCopula 2.1.0

The new version makes the package more suitable for high-dimensional settings (d >> 50).

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.

- R
Published by tnagler about 9 years ago