Vine fitting

C-vines

fit(CVineCopula, U; order=[1, 2, 3, 4])

Without order, a data-driven order is selected from dependence scores.

D-vines

fit(DVineCopula, U; order=[1, 2, 3, 4])

Without order, the package selects a path through the variables.

R-vines

For a fixed structure:

fit(RVineCopula, U; structure=st)

For a data-driven structure:

fit(RVineCopula, U; tree_criterion=:tau, tree_algorithm=:kruskal)

Truncation and threshold

trunc=q stops fitting after tree . threshold can force sufficiently weak pair dependencies to independence during the sequential procedure.

Automatic selection of the truncation depth is future work; the current API expects the user to choose it explicitly.