vinecopulib::FitControlsVinecop class

A class for controlling fits of vine copula models.

Base classes

class FitControlsBicop: A class for controlling fits of bivariate copula models.

FitControlsVinecop(): Instantiates default controls for fitting vine copula models.
FitControlsVinecop(std::vector<BicopFamily> family_set, std::string parametric_method = "mle", std::string nonparametric_method = "quadratic", double nonparametric_mult = 1.0, size_t trunc_lvl = std::numeric_limits<size_t>::max(), std::string tree_criterion = "tau", double threshold = 0.0, std::string selection_criterion = "aic", const Eigen::VectorXd& weights = Eigen::VectorXd(), double psi0 = 0.9, bool preselect_families = true, bool select_trunc_lvl = false, bool select_threshold = false, bool show_trace = false, size_t num_threads = 1) explicit: Instantiates custom controls for fitting vine copula models.
FitControlsVinecop(const FitControlsBicop& controls, size_t trunc_lvl = std::numeric_limits<size_t>::max(), std::string tree_criterion = "tau", double threshold = 0.0, bool select_trunc_lvl = false, bool select_threshold = false, bool show_trace = false, size_t num_threads = 1) explicit: Instantiates custom controls for fitting vine copula models.

auto str() const -> std::string: Summarizes the controls into a string (can be used for printing).

auto get_trunc_lvl() const -> size_t: returns the truncation level.
auto get_tree_criterion() const -> std::string: returns the criterion for tree selection.
auto get_threshold() const -> double: returns the threshold parameter.
auto get_select_trunc_lvl() const -> bool: returns whether to select the truncation level automatically.
auto get_select_threshold() const -> bool: returns whether to select the threshold automatically.
auto get_fit_controls_bicop() const -> FitControlsBicop: Returns the fit controls for bivariate fitting.
void set_trunc_lvl(size_t trunc_lvl): Sets the truncation level.
void set_tree_criterion(std::string tree_criterion): Sets the criterion for tree selection.
void set_threshold(double threshold): Sets the threshold parameter.
void set_select_trunc_lvl(bool select_trunc_lvl): Sets whether to select the truncation level automatically.
void set_select_threshold(bool select_threshold): Sets whether to select the threshold automatically.
void set_fit_controls_bicop(FitControlsBicop controls): Sets the fit controls for bivariate fitting.

Instantiates custom controls for fitting vine copula models.

Parameters
family_set	The set of copula families to consider (if empty, then all families are included).
parametric_method	The fit method for parametric families; possible choices: `"mle"`, `"itau"`.
nonparametric_method	The fit method for the local-likelihood nonparametric family (TLLs); possible choices: `"constant"`, `"linear"`, `"quadratic"`.
nonparametric_mult	A factor with which the smoothing parameters are multiplied.
trunc_lvl	Truncation level for truncated vines.
tree_criterion	The criterion for selecting the maximum spanning tree ("tau", "hoeffd", "rho", and "mcor" implemented so far).
threshold	For thresholded vines (0 = no threshold).
selection_criterion	The selection criterion (`"loglik"`, `"aic"` or `"bic"`).
weights	A vector of weights for the observations.
psi0	Only for `selection_criterion = "mbic", prior probability of non-independence.
preselect_families	Whether to exclude families before fitting based on symmetry properties of the data.
select_trunc_lvl	Whether the truncation shall be selected automatically.
select_threshold	Whether the threshold parameter shall be selected automatically.
show_trace	Whether to show a trace of the building progress.
num_threads	Number of concurrent threads to use while fitting pair copulas within a tree; never uses more than the number of concurrent threads supported by the implementation.

Instantiates custom controls for fitting vine copula models.

Parameters
controls	See FitControlsBicop.
trunc_lvl	Truncation level for truncated vines.
tree_criterion	The criterion for selecting the maximum spanning tree ("tau", "hoeffd" and "rho" implemented so far).
threshold	For thresholded vines (0 = no threshold).
select_trunc_lvl	Whether the truncation shall be selected automatically.
select_threshold	Whether the threshold parameter shall be selected automatically.
show_trace	Whether to show a trace of the building progress.
num_threads	Number of concurrent threads to use while fitting pair copulas within a tree; never uses more than the number returned by `std::thread::hardware_concurrency()``.