rvinecopulib: High Performance Algorithms for Vine Copula Modeling

Provides an interface to 'vinecopulib', a C++ library for vine copula modeling based on 'Boost' and 'Eigen'. The 'rvinecopulib' package implements the core features of the popular 'VineCopula' package, in particular inference algorithms for both vine copula and bivariate copula models. Advantages over 'VineCopula' are a sleeker and more modern API, improved performances, especially in high dimensions, nonparametric and multi-parameter families. The 'rvinecopulib' package includes 'vinecopulib' as header-only C++ library (currently version 0.2.3). Thus users do not need to install 'vinecopulib' itself in order to use 'rvinecopulib'. Since their initial releases, 'vinecopulib' is licensed under the MIT License, and 'rvinecopulib' is licensed under the GNU GPL version 3.

Imports: graphics, grDevices, lattice, Rcpp (≥ 0.12.12), stats, utils
LinkingTo: BH, Rcpp, RcppEigen, RcppThread
Suggests: igraph, ggplot2, ggraph, testthat
Published: 2017-11-18
Author: Thomas Nagler [aut, cre], Thibault Vatter [aut]
Maintainer: Thomas Nagler <info at vinecopulib.org>
License: GPL-3 | file LICENSE
NeedsCompilation: yes
SystemRequirements: C++11
Materials: README NEWS
CRAN checks: rvinecopulib results


Reference manual: rvinecopulib.pdf
Package source: rvinecopulib_0.
Windows binaries: r-devel: rvinecopulib_0., r-release: rvinecopulib_0., r-oldrel: rvinecopulib_0.
OS X El Capitan binaries: r-release: rvinecopulib_0.
OS X Mavericks binaries: r-oldrel: rvinecopulib_0.
Old sources: rvinecopulib archive


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