Changelog • rvinecopulib

# Changelog

Source: `NEWS.md`

## rvinecopulib 0.6.3.1.1

- add `-D_HAS_AUTO_PTR_ETC=0` flag to disable deprecated features used in boost.

## rvinecopulib 0.6.3.1.02023-02-20

- fix `NA` handling in `to_pseudo_obs()` (#260)

- add `emp_cdf()` for the tail corrected empirical cdf (#261)

## rvinecopulib 0.6.2.1.3 (December 3, 2022)2022-12-06

- fix marginal PIT for discrete variables (see issue #257, thanks @rplzzz)

## rvinecopulib 0.6.2.1.2 (October 16, 2022)2022-10-17

- fix warning about C++17 attribute extension ‘nodiscard’ (#255)

## rvinecopulib 0.6.2.1.1 (August 30, 2022)2022-09-04

- replace bitwise operations on Boolean variables.

## rvinecopulib 0.6.2.1.0 (August 26, 2022)2022-08-26

Release following the updates of vinecopulib to 0.6.2, see https://github.com/vinecopulib/vinecopulib/releases. The most relevant changes are summarized below.

- improved documentation (discrete and missing dat, Rosenblatt transforms)

- better parallelization when there is a small number of edges (#555)

## rvinecopulib 0.6.1.1.3 (March 17, 2022)2022-03-18

- avoid bitwise operations on Boolean variables.

## rvinecopulib 0.6.1.1.2 (March 14, 2022)2022-03-14

- enforce use on recent version of RcppThread for proper handling of linker flags

## rvinecopulib 0.6.1.1.1 (October 6, 2021)2021-10-07

#### BUG FIXES

- remove illegal pragmas from json header (#245)

- allow tree restriction in summary functions (#244)

## rvinecopulib 0.6.1.1.0 (July 13, 2021)

Release following the updates of vinecopulib to 0.6.1, see https://github.com/vinecopulib/vinecopulib/releases. The most relevant changes are summarized below.

#### BUG FIXES

- improved documentation (#241, #239)

- use `num_threads` in recursive calls to the inverse Rosenblatt

- force TLL to be nonnegative (#238)

- fix number of parameters for TLL

## rvinecopulib 0.5.5.1.1 (December 15, 2020)2021-01-06

Maintenance release following the changes to `all.equal()` in R 4.1.x.

## rvinecopulib 0.5.5.1.0 (November 24, 2020)2020-11-23

Release following the updates of vinecopulib to 0.5.5, see https://github.com/vinecopulib/vinecopulib/releases. The most relevant changes are summarized below.

#### BUG FIXES

- fix little bug in copula selection based on mBIC

- stabilize BB7 copula pdf

- fix threshold selection for (near-)independent data

- fix vine copula selection for 1-dimensional models with discrete variables

- fix user-visible variable types

## rvinecopulib 0.5.4.1.0 (September 30, 2020)2020-10-03

Release following the updates of vinecopulib to 0.5.4, see https://github.com/vinecopulib/vinecopulib/releases. The most relevant changes are summarized below.

#### BUG FIXES

- fix uninitialized number of parameters for TLL family

- fix Kendall’s tau of Frank copula for par <= 3

- fix `dvinecop()` when discrete variables are present (#222)

## rvinecopulib 0.5.3.1.0 (August 11, 2020)2020-08-12

Release following the updates of vinecopulib to 0.5.3, see https://github.com/vinecopulib/vinecopulib/releases. The most relevant changes are summarized below.

#### NEW FEATURES

- allow 1-dimensional models (#216)

- make AIC default selection criterion (#213)

#### BUG FIXES

- catch na in ktau_to_par (#214)

- make Bicop/Vinecop objects indepent of copied-from-objects

- enforce parameters bounds in tau_to_parameters for Archimedean families

## rvinecopulib 0.5.2.1.0 (May 7, 2020)2020-05-07

Release following the updates of vinecopulib to 0.5.2, see https://github.com/vinecopulib/vinecopulib/releases. The most relevant changes are summarized below.

NEW FEATURES

- single-integer constructors for `dvine_structure()`/`cvine_structure()`. (#203)

- add `var_names = "hide"` option in `plot.vinecop_dist()`. (#203)

- add function `plot.rvine_matrix()`. (#203)

BUG FIXES

- fix bug for (negative) tau to parameter conversion for Frank family. (#207)

- fix rare error `rvine_structure_sim()/rvine_matrix_sim()`

- safeguard `"tll"` family against comonotonic data.

- stabilize archimedean h-functions near independence.

## rvinecopulib 0.5.1.1.0 (November 25, 2019)2019-11-26

Release following the updates of vinecopulib to 0.5.1, see https://github.com/vinecopulib/vinecopulib/releases.

BUG FIX

- fix out of range bug for weighted TLL influence when sample size is small.

## rvinecopulib 0.5.0.1.0 (November 25, 2019)2019-11-25

Release following the updates of vinecopulib to 0.5.0, see https://github.com/vinecopulib/vinecopulib/releases. The most relevant changes are summarized below.

NEW FEATURES

- modelling discrete variables with bivariate or vine copulas. (#195)

- selection of partially specified R-vine structures. (#195)

- convenience classes `dvine_structure()`/`cvine_structure()` for D- and C-vine structures. (#195)

- new criterion for tree selection: `"joe"` corresponds to -log(1-r^2), where r is the pairwise partial correlation. (#195)

- random sampling of R-vine structures. (#197)

- add `weights` argument to `vine()`. (#188)

- parallelized fitting of margins in `vine()`. (#198)

API BREAK

- The new `var_types` argument for discrete models has been placed early in `bicop()/vinecop()` due to its importance. This might break old code calling these functions with unnamed arguments.

BUG FIXES AND OTHER IMPROVEMENTS

- better support for 0-truncated structures. (#195)

- ensure consistency of TLL likelihood during and after fit. (#195)

- fixed order of ranks in `pseudo_obs(.., ties.method = "first")`. (#195)

- safer computation of multivariate normal cdf. (#195)

- improved memory efficiency. (#195)

## rvinecopulib 0.3.1.1.0 (July 4, 2019)2019-04-19

Release following the updates of vinecopulib to 0.3.2, see https://github.com/vinecopulib/vinecopulib/releases. The most relevant changes are summarized below.

NEW FEATURES

- improved extensibility for packages including on the C++-headers of vinecopulib (#178)

- new EDA function `pairs_copula_data()` (#181).

BUG FIXES

- ensure that input and output type of `pseudo_obs()` match (#182).

- fix printing of `"tll"` family in `summary.vinecop() (#183).

## rvinecopulib 0.3.1.1.0 (April 19, 2019)2019-04-19

Release following the updates of vinecopulib to 0.3.1, see https://github.com/vinecopulib/vinecopulib/releases. The most relevant changes are summarized below.

NEW FEATURES

- import vinecopulib 0.3.1 (#171)

- improve documentation (#168, #170)

- warning message for wrong family in itau method (#169)

- refactoring for enhanced extensibility of the class `Vinecop` (vinecopulib #407)

- simplify algorithms by reversing definition of natural order (vinecopulib #387)

- improve selection of truncation level (vinecopulib #373)

- add truncate methods for `TriangularArray`, `RVineStructure` and `Vinecop` (vinecopulib #372)

BUG FIXES

- don’t strip debug symbols unconditionally on linux (#174)

## rvinecopulib 0.3.0.1.1 (August 22, 2018)2018-08-22

BUG FIXES

- fix non-portable use of `log()` in C++ code (#147).

- remove parallelized unit test to avoid segfault on Solaris (#147).

## rvinecopulib 0.3.0.1.0 (August 9, 2018)2018-08-09

Release following the updates of vinecopulib to 0.3.0, see https://github.com/vinecopulib/vinecopulib/releases. The most relevant changes are summarized below.

NEW FEATURES

- new generic `truncate_model()` to truncated vine structures and models (#144).

- new functions `rosenblatt()` and `inverse_rosenblatt()` for computing the (inverse) Rosenblatt transformation (#142).

- faster algorithms for nonparametric copulas based on bilinear interpolation.

- refactor vine structures and related algorithms with triangular arrays to improve efficiency of truncated models (#136).

- new classes `rvine_structure` and `rvine_matrix` for storing the vine structure including `as_`- and `is.`-generics (#136).

- allow for generating quasi-random numbers (#126).

- improved parallelization: faster of fitting vine copula models and parallelized versions of many algorithms including pdf, cdf and simulation (#339, #363).

- allow weights for observations (#118).

- faster compilation using only a single wrapper file (#124).

- improved print and summary generics (#131).

BUG FIXES

- fix cdf of StudentBicop

- improved numerical stability.

- fix gcc-8 warning.

- fix missing variable names for class `vine`.

## rvinecopulib 0.2.8.1.0 (May 8, 2018)2018-05-09

Release following the updates of vinecopulib to 0.2.8, see https://github.com/vinecopulib/vinecopulib/releases. The most relevant changes are summarized below.

NEW FEATURES

- new `vine_dist` and `vine` classes for data with non-uniform margins (#97).

- new function `truncate_model()` for `vinecop_dist` and `vine_dist` objects (#95, #97).

- new convenience functions `get_pair_copula()`, `get_parameters()`, `get_ktau()`, `get_family()` for `bicop_dist`, `vinecop_dist` and `vine_dist` objects (#95, #107, #109).

- new convenience functions `get_matrix()`, `get_all_pair_copulas()`, `get_all_parameters()`, `get_all_ktaus()`, `get_all_families()` for `vinecop_dist` and `vine_dist` objects (#95, #107, #109).

- new (`dim`) and improved (`print`, `summary` and `logLik`) generic methods for `vinecop_dist` and `vine_dist` objects (#104, #109, #110).

- new function `pseudo_obs` to compute pseudo-observations (#108).

- improved documentation (#98, #100).

- improved sanity checks and error messages (#99, #102).

BUG FIXES

- make mcor correction less aggressive (#103).

- fix truncation of pdf values (#103).

- use increased search interval for parameter estimation when initial fit is unreasonable (#103).

- ensure that boundaries are respected for Joe’s `hinv` methods (#103).

- improve numerical stability by more restrictive parameter bounds for Joe and BB7 copulas (#103).

## rvinecopulib 0.2.7.1.0 (March 1, 2018)2018-03-02

Release following the updates of vinecopulib to 0.2.7, see https://github.com/vinecopulib/vinecopulib/releases. The most relevant changes are summarized below.

NEW FEATURES

- new criterion for tree selection `"mcor"`.

BUG FIXES

- fix bandwidth scaling for family `"tll"`.

## rvinecopulib 0.2.6.1.1 (February 24, 2018)2018-02-25

Patch of rvinecopulib 0.2.6.1.0.

BUG FIXES

- corrected documentation items.

## rvinecopulib 0.2.6.1.0 (February 23, 2018)

Release following the updates of vinecopulib to 0.2.6, see https://github.com/vinecopulib/vinecopulib/releases. The most relevant changes are summarized below.

NEW FEATURES

- add checks for data in (0, 1).

- improved bandwidth selection for method `"tll"` by scaling with maximum-correlation coefficient.

- add mBICV criterion to select the truncation level and threshold along with new function `mBICV()`.

BUG FIXES

- fix calculation of Hoeffding’s D.

## rvinecopulib 0.2.5.1.0 (January 14, 2017)2018-01-14

Release following the updates of vinecopulib to 0.2.4 and 0.2.5, see https://github.com/vinecopulib/vinecopulib/releases. The most relevant changes are summarized below.

NEW FEATURES

- faster simulation and pdf functions for truncated vines.

- speed up vine copula algorithms by pre-computing information related to the vine structure.

- the selected threshold parameter can be returned from an `vinecop` object.

BUG FIXES

- make bb8 lower bound ensure feasible computations in `par_to_tau()`.

- default initialize `Rcout` (#277).

- fix storage order of pair copulas when structure is fixed.

- fixed selection algorithm for threshold and truncation level.

## rvinecopulib 0.2.3.1.0 (November 18, 2017)2017-11-18

Release following the update of vinecopulib to 0.2.3, see https://github.com/vinecopulib/vinecopulib/releases/tag/v0.2.3. The most relevant changes are summarized below.

NEW FEATURES

- faster implementation of Archimedean pdfs.

BUG FIXES

- add safeguards for `bicop()`/`vinecop()` called with insufficient data.

- fix segfault issue in completing a truncated vine fit.

- make `par_method = "itau"` respect the parameter bounds.

## rvinecopulib 0.2.2.1.0 (November 9, 2017)

Release following the updates of vinecopulib to 0.2.1 and 0.2.2, see https://github.com/vinecopulib/vinecopulib/releases/tag/v0.2.1 and https://github.com/vinecopulib/vinecopulib/releases/tag/v0.2.2. The most relevant changes are summarized below.

NEW FEATURES

- faster vine copula estimation and selection by parallelizing further sub-routines.

- enhanced cross-platform compatibility.

- increased precision of maximum-likelihood estimators.

- allow `"loglik"` as selection criterion.

BUG FIXES

- fixed `itau` estimation method for Frank copulas (only allowed for positive parameters).

- make interpolation grid symmetric around (0.5, 0.5) again (for `"tll"` estimator).

## rvinecopulib 0.2.0.1.0 (October 30, 2017)2017-10-30

Release following the update of vinecopulib to 0.2.0, see https://github.com/vinecopulib/vinecopulib/releases/tag/v0.2.0. The most relevant changes are summarized below.

PACKAGING/DEPENDECY

- the C++ core of the library (besides wrappers) is now header only, so other R packages can access its functionality easily via LinkingTo.

- removed dependency on `NLopt`.

NEW FEATURES

- NA handling.

- parallelized selection/estimation of (pair-) copulas, see the `cores` argument in `bicop()` and `vinecop()`.

- efficient storage and fitting of truncated vines.

- Brent line search for (profile-) maximum-likelihood estimation of one-parameter families.

- more restrictive parameter bounds for Archimedean families, ensuring their numerical stability.

BUG FIXES

- error thrown whenever `vinecop()` or `bicop()` are called with data sets containing a single row.

- made order of `rvinecop(..., U)` consistent for d = 2 and d > 2.

- fixed bug in interpolation of kernel estimators near upper right corner.

- interpolation grid is now symmetric around (0.5, 0.5).

- stabilized quadratic tll estimator near zero.

- stabilized Archimedean pdfs.

## rvinecopulib 0.1.0.1.1 (September 1, 2017)2017-09-01

BUG FIXES

- Improve portability when using mathematical functions

## rvinecopulib 0.1.0.1.0 (August 29, 2017)2017-08-30

Initial release.