CDVineCopulaConditional (version 0.1.1)
Sampling from Conditional C- and D-Vine Copulas
Description
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.