vinecopulib: a C++ library for vine copula modeling
Vine copulas are a flexible class of dependence models consisting of bivariate building blocks (see e.g., Aas et al., 2009). You can find a comprehensive list of publications and other materials on vine-copula.org.
vinecopulib is a header-only C++ library for vine copula models based on Eigen. It provides high-performance implementations of the core features of the popular VineCopula R library, in particular inference algorithms for both vine copula and bivariate copula models. Advantages over VineCopula are
- a stand-alone C++ library with interfaces to both R and Python,
- a sleaker and more modern API,
- shorter runtimes and lower memory consumption, especially in high dimensions,
- nonparametric and multi-parameter families.
Version 0.6.2 was released on August 24, 2022. While we did our best to design a user-friendly API, the library is still under active development and changes are to be expected. We are also working on interfaces for R and Python.