CDVineCopulaConditional

Provides tools for sampling from a conditional copula density decomposed via Pair-Copula Constructions as C- or D- vine. Here, the vines which can be used for such a sampling are those which sample as first the conditioning variables (when following the sampling algorithms shown in Aas et al. (2009) https://doi.org/10.1016/j.insmatheco.2007.02.001). The used sampling algorithm is presented and discussed in Bevacqua et al. (2017) https://doi.org/10.5194/hess-2016-652, and it is a modified version of that from Aas et al. (2009) https://doi.org/10.1016/j.insmatheco.2007.02.001. A function is available to select the best vine (based on information criteria) among those which allow for such a conditional sampling. The package includes a function to compare scatterplot matrices and pair-dependencies of two multivariate datasets.

Last 30 days

Last 365 days

The following line graph shows the downloads per day. You can hover over the graph to see the exact number of downloads per day.