kdecopula 0.9.2

NEW FEATURES

• faster computations for method = "bern" due to removal of the quadratic programming step for rescaling to uniform margins.

kdecopula 0.9.1

BUG FIXES

• fix bug in interpolation near boundaries (interpolated in wrong cell, see #2, #3).

kdecopula 0.9.0

NEW FEATURES

• user visible functions for bandwidth selection (bw_xxx()) with documentation.

• predict(), fitted(), and simulate() generics.

• make TLL2nn the default method.

• new function dep_measures() for calculating dependence measures.

kdecopula 0.8.1

NEW FEATURES

• stabilized bandwidth matrix transformation.

• faster builds (removed unnecessarily included headers).

• updated documentation.

kdecopula 0.8.0

NEW FEATURES

• Improved bandwidth selection heuristic for methods TLL1/TLL2.

• The Bernstein copula density estimator is documented and comes with an automated smoothing parameter selection routine.

• All bandwidth selection methods now have a manual page (see ?kdecop for links).

• Updated vignette.

BUG FIXES

• fixed inconsistencies in bandwidth specification. The interpretation of the bandwidth matrix is now the same for TLL and T methods.

kdecopula 0.7.0

DEPENDS

• Added quadprog to imports.

NEW FEATURES

• Methods TLL1 and TLL2 now use fixed bandwidths; nearest neighbor methods are implemented as TLL1nn and TLL2n.

• Improved bandwidth selection for methods TLL1nn and TLL2nn.

• Improved memory allocation.

• Hidden (and undocumented) method bern for the Bernstein copula density.

BUG FIXES

• Bandwidth selection for methods TTxx are now safe even when correlation is high and sample size small.

kdecopula 0.6.0

DEPENDS

• Package no longer imports packages cubature and VineCopula.

BUG FIXES

• improved algorithms for numerical inversion

NEW FEATURES

• new function hkdecop to evaluate conditional distributions (“h-functions”).

• extended plotting functionality (exponential margins).

• faster calculations of bandwidths for methods “MR” and “beta” due to precalculated integral values.

OTHER

• updated vignette.

kdecopula 0.5.0

BUG FIXES

• fix scaling for method = “MR” when not renormalized.

NEW FEATURES

• package now has a vignette.

kdecopula 0.4.1

BUG FIXES

• rkdecop now properly working with quasi-random numbers.

• improved efficiency of C++ code.

kdecopula 0.4.0

NEW FEATURES

• New estimation method: tapered transformation estimator (methods “TTPI” and “TTCV”). Thanks to Kuangyu Wen for sharing code!

kdecopula 0.3.0

NEW FEATURES

• New methods for class kdecopula: logLik, AIC, BIC

• Full summary (logLik, AIC, BIC, effp) even when info = FALSE.

BUG FIXES

• Fixed typo in install instructions.

• Fixed bug in summary (method = "T").

• Improve formatting in summary.

kdecopula 0.2.0

NEW FEATURES

• New methods for class kdecopula: print, summary, contour.

• kdecop: Default for info argument is now TRUE.

• Updated documentation.

BUG FIXES

• kdecop: fix error when requesting info about fit.

kdecopula 0.1.0

DEPENDS

• Package now imports the qrng pacakge.

NEW FEATURES

• rkdecop: add quasi-random number option based on package qrng.

kdecopula 0.0.4

BUG FIXES

• dkdecop: set cutoff for stable option in to 50

• Fix memory read errors.

kdecopula 0.0.3

BUG FIXES

• Dixed some memory issues in C++ code.

• Adjust imports for R-3.3.0.

kdecopula 0.0.2

BUG FIXES

• Fixed issues with non-portable C++ code (problems occured on solaris).