software . 2021

pyvinecopulib

Nagler, Thomas; Vatter, Thibault;
Open Access
  • Published: 13 Jul 2021
  • Publisher: Zenodo
Abstract
pyvinecopulib is the python interface to vinecopulib, 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.
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Subjects
free text keywords: dependence, copula, vine, pair copula construction, simulation
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Open Access
ZENODO
Software . 2021
Providers: ZENODO
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