Changelog

0.7.1

Bug fixes in pyvinecopulib

• Upgrade nanobind to allow for single row matrices (fix #169 and #170)

New features in pyvinecopulib

• Add pickle support for all classes (#168)

• Add allow_rotation option to FitControlsBicop and FitControlsVinecop (#168)

Changes in vinecopulib version 0.7.1

These changes originate from the latest release of vinecopulib, the C++ library which powers pyvinecopulib.

NEW FEATURES

• add allow_rotation option to FitControlsBicop and FitControlsVinecop to allow for the rotation of the pair copulas (#628).

• add a FitControlsConfig struct to create flexible and yet safe constructors for FitControlsBicop and FitControlsVinecop (#629).

BUG FIXES

• restrict parameter range for fitting Tawn copulas; fix handling of their shape/argument order (#620).

• compute and save loglik/nobs in Vinecop::fit() (#623)

• disable unwanted compiler output related to BOOST_CONCEPT checks (#624)

0.7.0

This version introduces a switch to nanobind as a backend (#160): i.e., the C++ bindings, now use nanobind instead of pybind11. It allows for considerable performance improvements (~8x speedup in our latest benchmarks) and smaller binaries.

Breaking API changes in pyvinecopulib

• Removal of the overloaded constructors:

  • For all classes, only one constructor is now available. The reason is that the overloaded constructors were un-Pythonic, error-prone, and could not be properly documented with Sphinx. They have been replaced by a single constructor for each class, along with factory from_xzy methods.

  • For the Bicop class:

    • Bicop.from_family(): Instantiate from a family, rotation, parameters, and variable types.

    • Bicop.from_data(): Instantiate from data, as well as optional controls and variable types.

    • Bicop.from_file(): Instantiate from a file.

    • Bicop.from_json(): Instantiate from a JSON-like string.

  • For the Vinecop class:

    • Vinecop.from_dimension(): Instantiate an empty vine copula of a given dimension.

    • Vinecop.from_data(): Instantiate from data, as well as an optional FitControlsVinecop, an RVineStructure or matrix, and variable types.

    • Vinecop.from_structure(): Instantiate from an RVineStructure or matrix, as well as optional pair-copulas and variable types.

    • Vinecop.from_file(): Instantiate from a file.

    • Vinecop.from_json(): Instantiate from a JSON-like string.

  • For the RVineStructure class:

    • RVineStructure.from_dimension(): Instantiate a default structure of a given dimension and truncation level.

    • RVineStructure.from_order(): Instantiate from an order vector.

    • RVineStructure.from_matrix(): Instantiate from a matrix.

    • RVineStructure.from_file(): Instantiate from a file.

    • RVineStructure.from_json(): Instantiate from a JSON-like string.

New features in pyvinecopulib

• Expose more structure methods to python (#157)

• Switch to nanobind as a backend (#160)

• New IO methods for Bicop and Vinecop classes to use JSON-like strings (#160)

• Extensive documentation revamp (#160)

• Adding a benchmark example (#160)

• Convertion of all examples to Jupyter notebooks (#160)

Bug fixes in pyvinecopulib

• Install and test source distribution (#164)

Changes in vinecopulib

These changes originate from the underlying C++ library, vinecopulib, which powers pyvinecopulib.

New features

• Use analytical derivatives in discrete pdf/hfuncs (#572)

• Allow for alternative for "prim" vs "kruskal" in MST-based model selection (#577)

• Improve the dependencies install script to use it in other projects (#576)

• Add tawn copula (#579)

• Improve doc (#580, #585, #607)

• Allow for the discrete Rosenblatt transform (#581)

• Add Vinecop::fit() (#584)

• Improve Bicop::str() (#588) and Vinecop::str() (#589)

• Properly handle discrete variables for the TLL family (#597)

• Weighted pseudo-observations (#602)

• Cross-platform random numbers and add seeds options to to_pseudo_obs (#603)

• Improve performance by

  • aligning with the R defaults (e.g., BOOST_NO_AUTO_PTR, BOOST_ALLOW_DEPRECATED_HEADERS, BOOST_MATH_PROMOTE_DOUBLE_POLICY=false, std::string nonparametric_method = "constant" for the TLL instead of "quadratic", -O3 -march=native compiler flags) and add benchmarking example (#592, #611, #613),

  • using Eigen element-wise operations instead of boost whenever possible (#598, #612),

  • using binary search in the TLL for get_indices (#613).

Bug fixes

• Improve stability in BB7 PDF (#573)

• Revamped CI/CD pipeline, tests discoverable by CTest, boost version on windows ((66cf8b0))

• Fix ASAN issues (#583)

• Fix interface includes and other CMake issue (#586, #599, #601, #608), by @jschueller