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VineCopulas.jl

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Mathematical background

Pair-copula decomposition

h-functions and inverses

Rosenblatt transforms

Simulation vs fitting

Extreme-value pair copulas

Adding a new pair-copula

Benchmarks and validation

Public

Internal (non-stable)

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Getting started

Manual

Mathematical background

Pair-copula decomposition

h-functions and inverses

Rosenblatt transforms

Simulation vs fitting

Conventions

Testing

Limitations

Vine structures

C-vines

D-vines

R-vines

Pair copulas

Supported families

Conditionals

Extreme-value pair copulas

Adding a new pair-copula

Examples

Minimal D-vine

Mixed D-vine

Truncated C-vine

Extreme-value vine

Large simulation

Plots

Comparison

rvinecopulib

Benchmarks and validation

API

Public

Internal (non-stable)

Citation

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Internal API

These names are not part of the stable public API. They are documented only for contributors.

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