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).