vinecopulib namespace

Tools for bivariate and vine copula modeling.

Namespaces

namespace bicop_families: Convenience definitions of sets of bivariate copula families.
namespace tools_stats: Utilities for statistical analysis.

Classes

class Bicop: A class for bivariate copula models.
class CVineStructure: A class for C-vine structures.
class DVineStructure: A class for D-vine structures.
class FitControlsBicop: A class for controlling fits of bivariate copula models.
struct FitControlsConfig
class FitControlsVinecop: A class for controlling fits of vine copula models.
class RVineStructure: A class for R-vine structures.
template<typename T> class TriangularArray: Triangular arrays.
class Vinecop: A class for vine copula models.

Enums

enum class BicopFamily { indep, gaussian, student, clayton, gumbel, frank, joe, bb1, bb6, bb7, bb8, tawn, tll }: A bivariate copula family identifier.

Functions

auto get_family_name(BicopFamily family) -> std::string: Converts a BicopFamily into a string with its name.
auto get_family_enum(std::string family) -> BicopFamily: Converts a string name into a BicopFamily.
template<typename T> auto operator<<(std::ostream& os, const TriangularArray<T>& tri_array) -> std::ostream&: Ostream method for TriangularArray, to be used with std::cout.
auto operator<<(std::ostream& os, const RVineStructure& rvs) -> std::ostream&: Ostream method for RVineStructure, to be used with std::cout.

Enum documentation

enum class vinecopulib::BicopFamily

A bivariate copula family identifier.

The list below summarises each family's parameter count, parameter range, available rotations, and tail-dependence behaviour. The exact parameter bounds enforced at fit time are visible via Bicop::get_parameters_lower_bounds() / Bicop::get_parameters_upper_bounds(). The Kendall's-tau column refers to the closed-form mapping implemented by Bicop::parameters_to_tau() / Bicop::tau_to_parameters().

Enumerators
indep	Independence copula. 0 parameters; rotationless; no tail dependence; Kendall's tau is 0.
gaussian	Gaussian copula. 1 parameter (rho in (-1, 1)); rotationless; no tail dependence; Kendall's tau is (2 / pi) * arcsin(rho).
student	Student-t copula. 2 parameters (rho in (-1, 1), df > 2); rotationless; symmetric tail dependence; Kendall's tau is (2 / pi) * arcsin(rho).
clayton	Clayton copula. 1 parameter (theta > 0); rotations 0 / 90 / 180 / 270 degrees; lower-tail dependence; Kendall's tau is theta / (theta + 2).
gumbel	Gumbel copula (also extreme-value). 1 parameter (theta >= 1); rotations 0 / 90 / 180 / 270 degrees; upper-tail dependence; Kendall's tau is 1 - 1 / theta.
frank	Frank copula. 1 parameter (theta in R \ {0}); rotationless; no tail dependence; Kendall's tau given by the Debye-function form.
joe	Joe copula. 1 parameter (theta >= 1); rotations 0 / 90 / 180 / 270 degrees; upper-tail dependence; Kendall's tau via a series expansion.
bb1	BB1 copula (two-parameter Archimedean). 2 parameters (theta > 0, delta >= 1); rotations 0 / 90 / 180 / 270 degrees; both lower- and upper-tail dependence; Kendall's tau in closed form.
bb6	BB6 copula (two-parameter Archimedean). 2 parameters (theta >= 1, delta >= 1); rotations 0 / 90 / 180 / 270 degrees; upper-tail dependence; Kendall's tau in closed form.
bb7	BB7 copula (two-parameter Archimedean). 2 parameters (theta >= 1, delta > 0); rotations 0 / 90 / 180 / 270 degrees; both lower- and upper-tail dependence; Kendall's tau in closed form.
bb8	BB8 copula (two-parameter Archimedean). 2 parameters (theta >= 1, delta in (0, 1]); rotations 0 / 90 / 180 / 270 degrees; upper-tail dependence; Kendall's tau in closed form.
tawn	Tawn copula (extreme-value, asymmetric). 3 parameters; rotations 0 / 90 / 180 / 270 degrees; (asymmetric) upper-tail dependence; Kendall's tau via the Pickands dependence function.
tll	Transformation Local Likelihood (TLL) nonparametric estimator. No finite parametric form: the copula density is fit on a grid in the inverse-normal-transformed copula space. Data-driven rotation and tail behaviour; Kendall's tau is rank-based on the fitted density.

Function documentation

std::string vinecopulib::get_family_name(BicopFamily family)

Converts a BicopFamily into a string with its name.

Parameters
family	The family.

BicopFamily vinecopulib::get_family_enum(std::string family)

Converts a string name into a BicopFamily.

Parameters
family	The family name.

template<typename T>
std::ostream& vinecopulib::operator<<(std::ostream& os, const TriangularArray<T>& tri_array)

Ostream method for TriangularArray, to be used with std::cout.

Parameters
os	An output stream.
tri_array	A triangular array.

std::ostream& vinecopulib::operator<<(std::ostream& os, const RVineStructure& rvs)

Ostream method for RVineStructure, to be used with std::cout.

Parameters
os	Output stream.
rvs	R-vine structure array.