Generalized additive models for bivariate copulas and pair-copula constructions
[
](https://cran.r-project.org/package= gamCopula)
This R package implements the generalized additive modeling framework for copulas introduced by Vatter and Chavez-Demoulin (2015). An extension to pair-copula constructions (also called vine copulas) is also provied. The package is still under development.
You can install the stable version as follows:
install.packages("gamCopula")Alternatively, you can install the latest development version as follows:
devtools::install_github("tvatter/gamCopula")Vatter, T., Nagler, T. (2016)
Generalized Additive Models for Pair-Copula Constructions.
Preprint available at arXiv:1608.01593.
Vatter, T., Chavez-Demoulin, V. (2015).
Generalized additive models for conditional dependence structures.
Journal of Multivariate Analysis, 141: 147-167, http://dx.doi.org/10.1016/j.jmva.2015.07.003.
Schepsmeier, U., Stoeber, J., Brechmann, E. C., Graeler, B., Nagler, T., Erhardt, T. (2016).
VineCopula: Statistical Inference of Vine Copulas.
R package version 2.0.7. https://github.com/tnagler/VineCopula.