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rvinecopulib 0.6.3.1.1

  • add -D_HAS_AUTO_PTR_ETC=0 flag to disable deprecated features used in boost.

rvinecopulib 0.6.3.1.0

  • fix NA handling in to_pseudo_obs() (#260)

  • add emp_cdf() for the tail corrected empirical cdf (#261)

rvinecopulib 0.6.2.1.3 (December 3, 2022)

  • fix marginal PIT for discrete variables (see issue #257, thanks @rplzzz)

rvinecopulib 0.6.2.1.2 (October 16, 2022)

  • fix warning about C++17 attribute extension 'nodiscard' (#255)

rvinecopulib 0.6.2.1.1 (August 30, 2022)

  • replace bitwise operations on Boolean variables.

rvinecopulib 0.6.2.1.0 (August 26, 2022)

Release following the updates of vinecopulib to 0.6.2, see https://github.com/vinecopulib/vinecopulib/releases. The most relevant changes are summarized below.

  • improved documentation (discrete and missing dat, Rosenblatt transforms)

  • better parallelization when there is a small number of edges (#555)

rvinecopulib 0.6.1.1.3 (March 17, 2022)

  • avoid bitwise operations on Boolean variables.

rvinecopulib 0.6.1.1.2 (March 14, 2022)

  • enforce use on recent version of RcppThread for proper handling of linker flags

rvinecopulib 0.6.1.1.1 (October 6, 2021)

BUG FIXES

  • remove illegal pragmas from json header (#245)

  • allow tree restriction in summary functions (#244)

rvinecopulib 0.6.1.1.0 (July 13, 2021)

Release following the updates of vinecopulib to 0.6.1, see https://github.com/vinecopulib/vinecopulib/releases. The most relevant changes are summarized below.

BUG FIXES

  • improved documentation (#241, #239)

  • use num_threads in recursive calls to the inverse Rosenblatt

  • force TLL to be nonnegative (#238)

  • fix number of parameters for TLL

rvinecopulib 0.5.5.1.1 (December 15, 2020)

Maintenance release following the changes to all.equal() in R 4.1.x.

rvinecopulib 0.5.5.1.0 (November 24, 2020)

Release following the updates of vinecopulib to 0.5.5, see https://github.com/vinecopulib/vinecopulib/releases. The most relevant changes are summarized below.

BUG FIXES

  • fix little bug in copula selection based on mBIC

  • stabilize BB7 copula pdf

  • fix threshold selection for (near-)independent data

  • fix vine copula selection for 1-dimensional models with discrete variables

  • fix user-visible variable types

rvinecopulib 0.5.4.1.0 (September 30, 2020)

Release following the updates of vinecopulib to 0.5.4, see https://github.com/vinecopulib/vinecopulib/releases. The most relevant changes are summarized below.

BUG FIXES

  • fix uninitialized number of parameters for TLL family

  • fix Kendall's tau of Frank copula for par <= 3

  • fix dvinecop() when discrete variables are present (#222)

rvinecopulib 0.5.3.1.0 (August 11, 2020)

Release following the updates of vinecopulib to 0.5.3, see https://github.com/vinecopulib/vinecopulib/releases. The most relevant changes are summarized below.

NEW FEATURES

  • allow 1-dimensional models (#216)

  • make AIC default selection criterion (#213)

BUG FIXES

  • catch na in ktau_to_par (#214)

  • make Bicop/Vinecop objects indepent of copied-from-objects

  • enforce parameters bounds in tau_to_parameters for Archimedean families

rvinecopulib 0.5.2.1.0 (May 7, 2020)

Release following the updates of vinecopulib to 0.5.2, see https://github.com/vinecopulib/vinecopulib/releases. The most relevant changes are summarized below.

NEW FEATURES

  • single-integer constructors for dvine_structure()/cvine_structure(). (#203)

  • add var_names = "hide" option in plot.vinecop_dist(). (#203)

  • add function plot.rvine_matrix(). (#203)

BUG FIXES

  • fix bug for (negative) tau to parameter conversion for Frank family. (#207)

  • fix rare error rvine_structure_sim()/rvine_matrix_sim()

  • safeguard "tll" family against comonotonic data.

  • stabilize archimedean h-functions near independence.

rvinecopulib 0.5.1.1.0 (November 25, 2019)

Release following the updates of vinecopulib to 0.5.1, see https://github.com/vinecopulib/vinecopulib/releases.

BUG FIX

  • fix out of range bug for weighted TLL influence when sample size is small.

rvinecopulib 0.5.0.1.0 (November 25, 2019)

Release following the updates of vinecopulib to 0.5.0, see https://github.com/vinecopulib/vinecopulib/releases. The most relevant changes are summarized below.

NEW FEATURES

  • modelling discrete variables with bivariate or vine copulas. (#195)

  • selection of partially specified R-vine structures. (#195)

  • convenience classes dvine_structure()/cvine_structure() for D- and C-vine structures. (#195)

  • new criterion for tree selection: "joe" corresponds to -log(1-r^2), where r is the pairwise partial correlation. (#195)

  • random sampling of R-vine structures. (#197)

  • add weights argument to vine(). (#188)

  • parallelized fitting of margins in vine(). (#198)

API BREAK

  • The new var_types argument for discrete models has been placed early in bicop()/vinecop() due to its importance. This might break old code calling these functions with unnamed arguments.

BUG FIXES AND OTHER IMPROVEMENTS

  • better support for 0-truncated structures. (#195)

  • ensure consistency of TLL likelihood during and after fit. (#195)

  • fixed order of ranks in pseudo_obs(.., ties.method = "first"). (#195)

  • safer computation of multivariate normal cdf. (#195)

  • improved memory efficiency. (#195)

rvinecopulib 0.3.1.1.0 (July 4, 2019)

Release following the updates of vinecopulib to 0.3.2, see https://github.com/vinecopulib/vinecopulib/releases. The most relevant changes are summarized below.

NEW FEATURES

  • improved extensibility for packages including on the C++-headers of vinecopulib (#178)

  • new EDA function pairs_copula_data() (#181).

BUG FIXES

  • ensure that input and output type of pseudo_obs() match (#182).

  • fix printing of "tll" family in `summary.vinecop() (#183).

rvinecopulib 0.3.1.1.0 (April 19, 2019)

Release following the updates of vinecopulib to 0.3.1, see https://github.com/vinecopulib/vinecopulib/releases. The most relevant changes are summarized below.

NEW FEATURES

  • import vinecopulib 0.3.1 (#171)

  • improve documentation (#168, #170)

  • warning message for wrong family in itau method (#169)

  • refactoring for enhanced extensibility of the class Vinecop (vinecopulib #407)

  • simplify algorithms by reversing definition of natural order (vinecopulib #387)

  • improve selection of truncation level (vinecopulib #373)

  • add truncate methods for TriangularArray, RVineStructure and Vinecop (vinecopulib #372)

BUG FIXES

  • don't strip debug symbols unconditionally on linux (#174)

rvinecopulib 0.3.0.1.1 (August 22, 2018)

BUG FIXES

  • fix non-portable use of log() in C++ code (#147).

  • remove parallelized unit test to avoid segfault on Solaris (#147).

rvinecopulib 0.3.0.1.0 (August 9, 2018)

Release following the updates of vinecopulib to 0.3.0, see https://github.com/vinecopulib/vinecopulib/releases. The most relevant changes are summarized below.

NEW FEATURES

  • new generic truncate_model() to truncated vine structures and models (#144).

  • new functions rosenblatt() and inverse_rosenblatt() for computing the (inverse) Rosenblatt transformation (#142).

  • faster algorithms for nonparametric copulas based on bilinear interpolation.

  • refactor vine structures and related algorithms with triangular arrays to improve efficiency of truncated models (#136).

  • new classes rvine_structure and rvine_matrix for storing the vine structure including as_- and is.-generics (#136).

  • allow for generating quasi-random numbers (#126).

  • improved parallelization: faster of fitting vine copula models and parallelized versions of many algorithms including pdf, cdf and simulation (#339, #363).

  • allow weights for observations (#118).

  • faster compilation using only a single wrapper file (#124).

  • improved print and summary generics (#131).

BUG FIXES

  • fix cdf of StudentBicop

  • improved numerical stability.

  • fix gcc-8 warning.

  • fix missing variable names for class vine.

rvinecopulib 0.2.8.1.0 (May 8, 2018)

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 aggressive (#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).

rvinecopulib 0.2.7.1.0 (March 1, 2018)

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

  • new criterion for tree selection "mcor".

BUG FIXES

  • fix bandwidth scaling for family "tll".

rvinecopulib 0.2.6.1.1 (February 24, 2018)

Patch of rvinecopulib 0.2.6.1.0.

BUG FIXES

  • corrected documentation items.

rvinecopulib 0.2.6.1.0 (February 23, 2018)

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

  • fix calculation of Hoeffding's D.

rvinecopulib 0.2.5.1.0 (January 14, 2017)

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.

rvinecopulib 0.2.3.1.0 (November 18, 2017)

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

  • faster implementation of Archimedean pdfs.

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.

rvinecopulib 0.2.2.1.0 (November 9, 2017)

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).

rvinecopulib 0.2.0.1.0 (October 30, 2017)

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.

rvinecopulib 0.1.0.1.1 (September 1, 2017)

BUG FIXES

  • Improve portability when using mathematical functions

rvinecopulib 0.1.0.1.0 (August 29, 2017)

Initial release.