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.
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
make bb8 lower bound ensure feasible computations in
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.
add safeguards for
vinecop() called with insufficient data.
fix segfault issue in completing a truncated vine fit.
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.
faster vine copula estimation and selection by parallelizing further sub-routines.
enhanced cross-platform compatibility.
increased precision of maximum-likelihood estimators.
"loglik" as selection criterion.
itau estimation method for Frank copulas (only allowed for positive parameters).
make interpolation grid symmetric around (0.5, 0.5) again (for
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.
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
parallelized selection/estimation of (pair-) copulas, see the
cores argument in
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.
error thrown whenever
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.