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rvinecopulib 0.5.0.1.0

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@tnagler tnagler released this 25 Nov 18:57
c7ef30f

Release following the updates of vinecopulib to 0.5.0, see
https://github.com/vinecopulib/vinecopulib/releases. The most
relevant changes are summarized below.

NEW FEATURES

  • modelling discrete variables with bivariate or vine copulas. (#195)

  • selection of partially specified R-vine structures. (#195)

  • convenience classes dvine_structure()/cvine_structure() for D- and
    C-vine structures. (#195)

  • new criterion for tree selection: "joe" corresponds to -log(1-r^2),
    where r is the pairwise partial correlation. (#195)

  • random sampling of R-vine structures. (#197)

  • add weights argument to vine(). (#188)

  • parallelized fitting of margins in vine(). (#198)

API BREAK

  • The new var_types argument for discrete models has been placed
    early in bicop()/vinecop() due to its importance. This might break old
    code calling these functions with unnamed arguments.

BUG FIXES AND OTHER IMPROVEMENTS

  • better support for 0-truncated structures. (#195)

  • ensure consistency of TLL likelihood during and after fit. (#195)

  • fixed order of ranks in pseudo_obs(.., ties.method = "first"). (#195)

  • safer computation of multivariate normal cdf. (#195)

  • improved memory efficiency. (#195)