vinecopulib

What is vinecopulib?

vinecopulib is a header-only C++ library for vine copula models based on Eigen. It provides high-performance implementations of the core features of the popular VineCopula R library, in particular inference algorithms for both vine copula and bivariate copula models. Advantages over VineCopula are

• a stand-alone C++ library with interfaces to both R and Python,
• a sleaker and more modern API,
• shorter runtimes and lower memory consumption, especially in high dimensions,
• nonparametric and multiparameter families.

The library also has interfaces for R and Python.

Contact

If you have any questions regarding the library, feel free to open an issue or send a mail to info@vinecopulib.org.

Documentation

For documentation of the library's functionality and instructions how to use it, check out our website or the docs/ folder in this repository.