Release following the updates of vinecopulib to 0.2.8, see https://github.com/vinecopulib/vinecopulib/releases. The most relevant changes are summarized below.
NEW FEATURES
new vine_dist and vine classes for data with non-uniform margins (#97).
new function truncate_model() for vinecop_dist and vine_dist objects (#95, #97).
new convenience functions get_pair_copula(), get_parameters(), get_ktau(), get_family() for bicop_dist, vinecop_dist and vine_dist objects (#95, #107, #109).
new convenience functions get_matrix(), get_all_pair_copulas(), get_all_parameters(), get_all_ktaus(), get_all_families() for vinecop_dist and vine_dist objects (#95, #107, #109).
new (dim) and improved (print, summary and logLik) generic methods for vinecop_dist and vine_dist objects (#104, #109, #110).
new function pseudo_obs to compute pseudo-observations (#108).
improved documentation (#98, #100).
improved sanity checks and error messages (#99, #102).
BUG FIXES
make mcor correction less agressive (#103).
fix truncation of pdf values (#103).
use increased search interval for parameter estimation when initial fit is unreasonable (#103).
ensure that boundaries are respected for Joe’s hinv methods (#103).
improve numerical stability by more restrictive parameter bounds for Joe and BB7 copulas (#103).
Release following the updates of vinecopulib to 0.2.7, see https://github.com/vinecopulib/vinecopulib/releases. The most relevant changes are summarized below.
NEW FEATURES
"mcor".BUG FIXES
"tll".Patch of rvinecopulib 0.2.6.1.0.
BUG FIXES
Release following the updates of vinecopulib to 0.2.6, see https://github.com/vinecopulib/vinecopulib/releases. The most relevant changes are summarized below.
NEW FEATURES
add checks for data in (0, 1).
improved bandwidth selection for method "tll" by scaling with maximum-correlation coefficient.
add mBICV criterion to select the truncation level and threshold along with new function mBICV().
BUG FIXES
Release following the updates of vinecopulib to 0.2.4 and 0.2.5, see https://github.com/vinecopulib/vinecopulib/releases. The most relevant changes are summarized below.
NEW FEATURES
faster simulation and pdf functions for truncated vines.
speed up vine copula algorithms by pre-computing information related to the vine structure.
the selected threshold parameter can be returned from an vinecop object.
BUG FIXES
make bb8 lower bound ensure feasible computations in par_to_tau().
default initialize Rcout (#277).
fix storage order of pair copulas when structure is fixed.
fixed selection algorithm for threshold and truncation level.
Release following the update of vinecopulib to 0.2.3, see https://github.com/vinecopulib/vinecopulib/releases/tag/v0.2.3. The most relevant changes are summarized below.
NEW FEATURES
BUG FIXES
add safeguards for bicop()/vinecop() called with insufficient data.
fix segfault issue in completing a truncated vine fit.
make par_method = "itau" respect the parameter bounds.
Release following the updates of vinecopulib to 0.2.1 and 0.2.2, see https://github.com/vinecopulib/vinecopulib/releases/tag/v0.2.1 and https://github.com/vinecopulib/vinecopulib/releases/tag/v0.2.2. The most relevant changes are summarized below.
NEW FEATURES
faster vine copula estimation and selection by parallelizing further sub-routines.
enhanced cross-platform compatibility.
increased precision of maximum-likelihood estimators.
allow "loglik" as selection criterion.
BUG FIXES
fixed itau estimation method for Frank copulas (only allowed for positive parameters).
make interpolation grid symmetric around (0.5, 0.5) again (for "tll" estimator).
Release following the update of vinecopulib to 0.2.0, see https://github.com/vinecopulib/vinecopulib/releases/tag/v0.2.0. The most relevant changes are summarized below.
PACKAGING/DEPENDECY
the C++ core of the library (besides wrappers) is now header only, so other R packages can access its functionality easily via LinkingTo.
removed dependency on NLopt.
NEW FEATURES
NA handling.
parallelized selection/estimation of (pair-) copulas, see the cores argument in bicop() and vinecop().
efficient storage and fitting of truncated vines.
Brent line search for (profile-) maximum-likelihood estimation of one-parameter families.
more restrictive parameter bounds for Archimedean families, ensuring their numerical stability.
BUG FIXES
error thrown whenever vinecop() or bicop() are called with data sets containing a single row.
made order of rvinecop(..., U) consistent for d = 2 and d > 2.
fixed bug in interpolation of kernel estimators near upper right corner.
interpolation grid is now symmetric around (0.5, 0.5).
stabilized quadratic tll estimator near zero.
stabilized Archimedean pdfs.
BUG FIXES
Initial release.