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 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 conditional sampling. The package includes a function to compare scatterplot matrices and pair-dependencies of two multivariate datasets.

Version: 0.1.0
Depends: R (≥ 2.10)
Imports: combinat, graphics, stats, VineCopula
Suggests: testthat
Published: 2017-03-02
Author: Emanuele Bevacqua [aut, cre]
Maintainer: Emanuele Bevacqua <emanuele.bevacqua at uni-graz.at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
Citation: CDVineCopulaConditional citation info
CRAN checks: CDVineCopulaConditional results

Downloads:

Reference manual: CDVineCopulaConditional.pdf
Package source: CDVineCopulaConditional_0.1.0.tar.gz
Windows binaries: r-devel: CDVineCopulaConditional_0.1.0.zip, r-release: CDVineCopulaConditional_0.1.0.zip, r-oldrel: CDVineCopulaConditional_0.1.0.zip
OS X El Capitan binaries: r-release: CDVineCopulaConditional_0.1.0.tgz
OS X Mavericks binaries: r-oldrel: CDVineCopulaConditional_0.1.0.tgz

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