pyvinecopulib

What are vine copulas?

Vine copulas are a flexible class of dependence models consisting of bivariate building blocks (see e.g., Aas et al., 2009). You can find a comprehensive list of publications and other materials on vine-copula.org.

What is pyvinecopulib?

pyvinecopulib is the python interface to vinecopulib, 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 multi-parameter families.

Prerequisites

• NumPy
• CMake >= 3.2
• Eigen3
• Boost >= 1.56 (1.58 on windows)
• A compiler with C++11 support (Linux, OS X) or Visual Studio 2015 (required for all Python versions, see notes below)

Installation

Just clone this repository and pip install. Note the --recursive option which is needed for the pybind11, vinecopulib and wdm submodules:

git clone --recursive https://github.com/vinecopulib/pyvinecopulib.git
pip install ./pyvinecopulib

Examples

Jupyter notebooks with examples can be found in the examples folder.

Building the documentation

Documentation for the example project is generated using Sphinx. The following command generates HTML-based reference documentation; for other formats please refer to the Sphinx manual:

• cd pyvinecopulib/docs
• make html

License

pyvinecopulib is provided under an MIT license that can be found in the LICENSE file. By using, distributing, or contributing to this project, you agree to the terms and conditions of this license.

Special notes for Windows

Compiler requirements

Pyvinecopulib requires a C++11 compliant compiler, i.e Visual Studio 2015 on Windows. This applies to all Python versions, including 2.7. Unlike regular C extension modules, it's perfectly fine to compile a pyvinecopulib module with a VS version newer than the target Python's VS version.

Runtime requirements

The Visual C++ 2015 redistributable packages are a runtime requirement for this project. If you use the Anaconda Python distribution, you can add vs2015_runtime as a platform-dependent runtime requirement for you package: see the conda.recipe/meta.yaml file in this example.

Contact

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