pyvine: the Python package for regular vine copula modeling, sampling and testing

DOI10.1007/s40304-019-00195-2zbMath1465.62044OpenAlexW2973014471WikidataQ121633079 ScholiaQ121633079MaRDI QIDQ2023903

Zhenfei Yuan, Taizhong Hu

Publication date: 3 May 2021

Published in: Communications in Mathematics and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40304-019-00195-2

zbMATH Keywords

dependence structure\texttt{Python}regular vine copulaRosenblatt's transformationmultivariate samplingbivariate copulamultivariate modelingAnderson-darling test

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items (1)

pyvine

Uses Software

• NetworkX
• R
• L-BFGS-B
• QUADPACK
• L-BFGS
• F2PY
• LBFGS-B
• SciPy
• Matplotlib
• nacopula
• copula
• VineCopula
• CDVine
• BRENT
• Python
• copula
• pandas
• AnDarl
• Algorithm 462
• bvcopula

Cites Work

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• Pair-copula constructions of multiple dependence
• Selecting and estimating regular vine copulae and application to financial returns
• Beyond simplified pair-copula constructions
• Parametric families of multivariate distributions with given margins
• The meta-elliptical distributions with given marginals
• On the simplified pair-copula construction -- simply useful or too simplistic?
• A goodness of fit test for copulas based on Rosenblatt's transformation
• Vines -- a new graphical model for dependent random variables.
• Probability density decomposition for conditionally dependent random variables modeled by vines
• Hierarchies of Archimedean copulas
• Algorithm 778: L-BFGS-B
• Sampling from Archimedean copulas
• Dependence structures for multivariate high-frequency data in finance
• Maximum likelihood estimation of mixed C-vines with application to exchange rates
• Numerical evaluation of the Lambert W function and application to generation of generalized Gaussian noise with exponent 1/2
• A Computer Method for Calculating Kendall's Tau with Ungrouped Data
• Remarks on a Multivariate Transformation

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