Bevacqua, E. (2017): CDVineCopulaConditional: Sampling from Conditional C- and D-Vine Copulas

Abstract

Provides tools for sampling from a conditional copula density decomposed via Pair-Copula Constructions as C- or D- vine. Here, the vines which can be used for such a sampling are those which sample as first the conditioning variables (when following the sampling algorithms shown in Aas et al. (2009)). The used sampling algorithm is presented and discussed in Bevacqua et al. (2017), and it is a modified version of that from Aas et al. (2009). A function is available to select the best vine (based on information criteria) among those which allow for such a conditional sampling. The package includes a function to compare scatterplot matrices and pair-dependencies of two multivariate datasets.

Citation: Bevacqua, E. (2017): CDVineCopulaConditional: Sampling from Conditional C- and D-Vine Copulas. R package version 0.1.0 (LINK)

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