CDVineCopulaConditional: Sampling from Conditional C- and D-Vine Copulas

Provides tools for sampling from a conditional copula density decomposed via Pair-Copula Constructions as C- or D- vine. Here, the vines which can be used for such a sampling are those which sample as first the conditioning variables (when following the sampling algorithms shown in Aas et al. (2009) <doi:10.1016/j.insmatheco.2007.02.001>). The used sampling algorithm is presented and discussed in Bevacqua et al. (2017) <doi:10.5194/hess-2016-652>, and it is a modified version of that from Aas et al. (2009) <doi:10.1016/j.insmatheco.2007.02.001>. A function is available to select the best vine (based on information criteria) among those which allow for such a conditional sampling. The package includes a function to compare scatterplot matrices and pair-dependencies of two multivariate datasets.

Version: 0.1.1
Depends: R (≥ 2.10)
Imports: combinat, graphics, stats, VineCopula
Suggests: testthat
Published: 2017-07-28
DOI: 10.32614/CRAN.package.CDVineCopulaConditional
Author: Emanuele Bevacqua [aut, cre]
Maintainer: Emanuele Bevacqua <emanuele.bevacqua at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
Citation: CDVineCopulaConditional citation info
CRAN checks: CDVineCopulaConditional results


Reference manual: CDVineCopulaConditional.pdf


Package source: CDVineCopulaConditional_0.1.1.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): CDVineCopulaConditional_0.1.1.tgz, r-oldrel (arm64): CDVineCopulaConditional_0.1.1.tgz, r-release (x86_64): CDVineCopulaConditional_0.1.1.tgz, r-oldrel (x86_64): CDVineCopulaConditional_0.1.1.tgz
Old sources: CDVineCopulaConditional archive


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