Changes for R-package CDVine
Ulf Schepsmeier and Eike Christian Brechmann and Tobias Erhardt
Version 1.3 (July 30, 2015)
- reformating of the code using the formatR package
- Bug fix:
* BiCopSelect: For the rotated BB7 and BB8 (family=37, 38) the limiting cases were incorrect for very small parameters (copy&paste error) (Reported by Radek Solnicky. Thanks!)
Version 1.2 (March 26, 2014)
- Maintainer changed from Ulf Schepsmeier to Tobias Erhardt (tobias.erhardt@tum.de)
- Bug fix:
* Improved calculation of Kendall's tau for the Joe copula (Thanks to Harry Joe).
Version 1.1-13 (August 12, 2013)
- Changed dependency from "igraph0" to "igraph" since the support for "igraph0" will be quit soon.
- Bug fix:
* Fixed memory problem in the C-function ktau (TauMatrix)
Version 1.1-12 (April 16, 2013)
- Bug fix:
* Combination of Student's t copula and independence copula in CDVineMLE (Reported by Tobias Erhardt. Thanks!)
* The C-function ktau had a memory-access error (Reported by Prof Brian Ripley. Thanks!)
Version 1.1-11 (January 17, 2013)
- Changes in the examples to pass the checks. Run time is reduced.
Version 1.1-10 (January 15, 2013)
- Vignette removed. Vignette is now published in the Journal of Statistical Software.
Brechmann, E. C. and U. Schepsmeier (2013).
Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine.
Journal of Statistical Software, 52 (3), 1-27.
http://www.jstatsoft.org/v52/i03/
Version 1.1-9 (July 3, 2012)
- Fixed compatibility issue with VineCopula.
Version 1.1-8 (July 2, 2012)
- Update of the vignette.
- Bug fix:
* bounds for elliptical copulas in BiCopLambda
Version 1.1-7 (May 21, 2012)
- Changed X11() to dev.new() in examples.
- Bug fix:
* fixed BIC in BiCopSelect
* improved estimation of Student-t copula in BiCopSelect
Version 1.1-6 (May 13, 2012)
- Changed dependency from "igraph" to "igraph0" because of upcoming major update of the package "igraph", which is not backwards compatible.
- Update of references cited in the manual.
- Implementation of a more stable version of Kendall's tau for the BB7 copula (BiCopPar2Tau).
- Improved implementation of the bivariate copula selection function (BiCopSelect).
Version 1.1-5 (December 28, 2011)
- Bug fix:
* fixed lower bound of the parameter of the Joe copula in CDVineMLE
Version 1.1-4 (October 21, 2011)
- Raised lower bound of the degrees of freedom of the Student-t copula to 2 in order to improve numerical stability.
- Bug fix:
* fixed BiCopPar2Tau for the Joe copula at par=2
Version 1.1-3 (October 20, 2011)
- Bug fix:
* fixed CDVineLogLik for d=2
Version 1.1-2 (October 12, 2011)
- Bug fixes:
* fixed the rotation in BiCopPDF
* fixed BIC-penalty term in BiCopSelect
* fixed Frank copula in BiCopTau2Par for tau=0
Version 1.1-1 (August 29, 2011)
- Additional control parameters for optim can be specified in CDVineMLE.
- Faster calculation of
* CDFs
* PDFs
* log-likelihoods
* h-functions
- Implementation of closed form of the inverse conditional cdf of the Frank copula.
- Higher upper bound for the calculation of the copula parameter by inversion of Kendall's tau for the Frank and Joe copulas (BiCopTau2Par and BiCopEst). Now a Kendall's tau up to 0.996 is possible.
- Bug fixes:
* fixed the calculation of log-likelihood of the survival BB8 copula
* fixed the output of CDVineCopulaSelect (second parameter of the BB copula and its rotated versions)
Version 1.1 (June 15, 2011)
- Inclusion of the package vignette.
- Faster implementation of the C-vine simulation algorithm.
- Implementation of the BB6 and BB8 copulas.
- Implementation of the rotated versions of the BB1, BB6, BB7 and BB8 copulas (rotation by 90, 180 and 270 degrees).
(Rotation by 180 degrees corresponds to the survival copula.)
- Improvement of the MLE of the bivariate t-copula (BiCopEst), especially of the degrees of freedom (par2).
- Stability improvement of the calculation of the inverse h-function (conditional distribution function).
- Bug fixes:
* fixed the calculation of the CDFs at the boundaries (BiCopCDF)
* fixed the calculation of the PDFs at the boundaries (BiCopPDF)
* general improvement of the calculation of the CDF, PDF and log-likelihood of the BB1 and BB7 copulas
Version 1.0-4 (June 2, 2011)
- Improvement of the MLE of the bivariate Gaussian copula (BiCopEst).
Version 1.0-3 (May 30, 2011)
- Bug fixes:
* fixed the calculation of the survival Joe copula density (BiCopPDF)
* fixed the calculation of Archimedean copula distribution functions (BiCopCDF)
Version 1.0-2 (May 23, 2011)
- Bug fix:
* fixed compatibility problem with Mac OS X
Version 1.0-1 (May 18, 2011)
- Implementation of a fast computation algorithm for Kendall's tau based on the algorithm of Knight (1966) (references see manual).
- Improvement of the calculation of the lambda-function (BiCopLambda).
- New output of the functions CDVineAIC and CDVineBIC: individual contributions to the AIC or BIC value for each pair-copula, respectively.
- Bug fixes:
* fixed the calculation of p-values in CDVineClarkeTest
* fixed the calculation of the goodness-of-fit test (BiCopGofKendall)