News for R Package copula

Changes in version 1.1-6 (2025-03-05, svn r1903)

Bug Fixes

• Validity checking of "acopula"-classed objects no longer requires \psi(0, \theta = 1/2) = 1, but only approximate equality.

Changes in version 1.1-5 (2025-02-09, svn r1902)

New Features

• The density, and hence likelihood and fitCopula() fits for Clayton copulas has been robustified numerically, such that the log likelihood does not underflow to -Inf unnecessarily.

Bug Fixes

• fitCopula(.., method = "Nelder-Mead") no longer shows optim() warnings (in 1d-case).

Misc

• system.time() results in ‘../tests/Stirling-etc.R’ are no longer tested (unless doExtras), as they can't work e.g., for valgrind extra tests.

• Speed up 3 more examples.

Changes in version 1.1-4 (2024-08-12, svn r1895)

Bug Fixes

• fgmCopula(param, dim) now checks length(param) correctly.

Misc

• Mention how to use colors in ?wireframe2.

• Regr.tests e.g. with valgrind are really slow; hence, do no longer check for system.time() used (unless doExtras)

Changes in version 1.1-3 (2023-12-07, svn r1888)

Misc

• format fix ("%lld"); use C99 SIZE_MAX

• fix "lost braces"

• ‘nacopula-pkg.Rnw’ fix for latex

• Avoid false positive warning: generic sign() vs "method" sign.2rotC().

Changes in version 1.1-2 (2023-01-20, svn r1882)

Miscellaneous

• Avoid long lines in vignette R output.

• Replace sprintf() by snprintf() as it is going to be deprecated in upcoming C environments, e.g., on macOS 13.

• Fix all current compiler warnings

Changes in version 1.1-1 (2022-11-17, svn r1880)

Miscellaneous

• Fix non-UTF-8 accents in C code (‘WARN’ on CRAN).

• Decrease the large ‘inst/doc/*.html’ vignettes a bit more, for a smaller package size (for CRAN).

Changes in version 1.1-0 (2022-06-14, svn r1875)

New Features

• fitCopula(<mixCopula>) now by default uses estimate.variance = TRUE also with free mixture weights.

• fitLambda() gets new method "Schmidt.Stadtmueller".

• fitMvdc() works in more cases, e.g. with a mixCopula.

• "mvdc" class objects no longer inherit from "xcopula" (a copula) but from new "Xcopula" (which just contains a copula).

• using isTRUE() and isFALSE() instead of identical(TRUE, .) etc.

• fitCopula(.., method="mpl") now also catches errors in var-cov matrix computations.

• New loglikCopulaMany(pList, ..) function for (more efficiently) computing copula likelihoods for many parameter vectors / values.

• For elliptic (t-, normal-) copulas, provide “permuted Toeplitz” dispersion via new dispstrToep() which allows to specify a permutation of the d variables / columns / coordinates to have a Toeplitz correlation structure.

Bug Fixes

• New arguments and defaults keepAttr=FALSE and checkCorr=FALSE for mvtnorm's Miwa() should speed up pCopula() for normal- and t- copulas.

• Empirical copula computations tweaks, preventing some erronous computations.

Changes in version 1.0-1 (2020-12-07, svn r1850)

New Features

• The pCopula() methods for normal- and t-copulas now allow to pass algorithm = . to pkg mvtnorm's functions. For lower dimensions, notably dimension d \le 3, the default is now to typically use a non-random algorithm.

  Such a default algorithm is also used in the (internal) derivative for normal- and t-copulas, (dCdu() calling dCduEllipCopula()).

• invisible improvement in internal Jscore() for internal var.mpl() computations.

• For mixCopulas, the default optimMethod() for fitCopula() is now "L-BFGS-B".

• When fitCopula(*, estimate.variance=TRUE) fails during optim(*, hessian=TRUE), a warning() is signalled, and kept as attribute of the NA-valued vcov matrix.

  Similarly when the hessian inversion fails, the warning message is now returned with the NA-valued vcov matrix.

• Smoothed empCopula() objects now have the right sampling methods.

Bug Fixes

• fitCopula(*, estimate.variance=FALSE) now returns a 0 x 0 matrix as slot @ var.est in all cases.

• tweaks some of the regression tests.

• For mixture copulas (mixCopula(.)) estimation by fm <- fitCopula(*, estimate.variance=TRUE) now is more reasonable: summary(fm) and vcov(fm) still stay in the w-space and currently return a warning about not-yet implemented Jacobian delta-method. coef(), vcov(), and summary(fm) now all have an optional argument orig = TRUE, which when set to false will provide results on the ‘l-scale’ aka ‘lambda-scale’ (instead of the original ‘w-scale’) for the weights, such that inference on the ‘l-scale’ is available.

Changes in version 1.0-0 (2020-05-19, svn r1839)

New Features

• mixCopula() objects can now be fit (by fitCopula()) more generally, as the weights no longer need to be kept fixed, thanks to Maechler's clr1() parametrization, and Rebecca Morger's B.Sc thesis.

• When no start parameter vector is specified in fitCopula(), the new (generic) function getIniParam() is used now; it notably has a method for "mixCopula" copulas.

• In the fitCopula*() functions, the traceOpt option now can be a positive integer (instead of just TRUE and FALSE) to print trace info only every traceOpt objective function evaluation.

Bug Fixes

• corrected thinko in `freeParam<-`(<mixcopula>, v).

• more tweaks on fixed / free parameter settings for "mixCopula".

Changes in version 0.999-20 (2020-02-03, svn r1833)

New Features

• evTestA() got new options trace.lev and report.err for reporting numerical intergration problems.

• gofT2stat() implements the two-sample test statistic of Rémillard and Scaillet (2009).

Bug Fixes

• rCopula() of an empCopula object failed because sampling was done without replace = TRUE.

• cCopula() now should work for indepCopula() and "moCopula" objects (via internal rosenblatt().

• fix ‘src/empcop.h’ and ‘man/fgmCopula.Rd’ inconsistencies, found by latest checks on CRAN.

Changes in version 0.999-19 (2018-12-19, svn r1808)

New Features

• exchTest() gets new argument ties.method.

• a new vignette ‘HAXC’ on Hierarchical Archimax Copulas.

• New simple classes and constructor fhCopula() for lower and upper Frechet–Hoeffding bounds (W and M), see ?fhCopula.

• Empirical copulas now get an explicit class and constructor empCopula().

• Marshall-Olkin copulas for the bivariate case (d = 2) get a class representation and are constructed via moCopula().

• In the case where loglikCopula(start, u=u, copula=copula) is +Inf, as e.g., in the case of data with duplicate columns (perfect correlation), the internal fitCopStart() and hence fitCopula() tries harder to work with the iTau()-generated start values.

• The plot() method for copula objects uses a somewhat experimental smart default for the main title.

• The "copula" class now gets its dimension slot from the new virtual class "dimCopula" which contains all copulas with an explicit dimension slot.

• the "indepCopula" now extends only "dimCopula" and "parCopula" and hence no longer has unuseful slots such as parameter.

• contributors now are all mentioned in ‘DESCRIPTION’; and all are listed including their ORCID's.

• gofCopula() gets new argument test.method.

• cCopula() now works for rotCopula objects and bivariate mixCopula objects.

Bug Fixes

• Bugfix in dCopula() method of empCopula(*, smoothing = "beta").

• Better error messages when copula parameters are NA (and hence, e.g. pCopula() gives an error).

• Bugfix in rCopula(, copula = mixCopula()) if the weights are unit vectors.

• mvdc(<rotCopula>, *) now works, too.

• fixed thinko in internal chkFun() called e.g., by perspMvdc().

Changes in version 0.999-18 (2017-08-31, svn r1681)

New Features

• contourplot2() now gets argument pretty, to be passed on, with a better (but not back-compatible) default (!labels).

• new margCopula() constructor of marginal copulas, currently for normal-, t-, and Archimedean copulas only.

Bug Fixes

• cCopula(*, inverse=TRUE) now also works for non-Clayton Archmedean copulas.

Changes in version 0.999-17 (2017-06-17, svn r1661)

New Features

• C.n() and several tests now get an optional argument (ties.method or similar) to specify what happens with ties.

• setTheta(cop, val) now also works for a partially fixed parameter elliptical copula.

• Export the (formerly hidden) utilities isFree(), isFreeP(), and nParam().

• New rLatinHypercube() and rAntitheticVariates() utilities.

• dCopula(u, copula, *) now signals an error if ncol(u) and dim(copula) differ.

• corKendall() now checks for NA's by default and then works pairwisely. It is now documented and exported. As a consequence, etau(U, *) now also works in the case U has missing values.

Bug Fixes

• In the case of ties, several GOF tests now use a better default method for dealing with ties in their calls to pobs().

• pobs(<zoo>, .) continues working.

• setTheta(<tCopula>, ..) now works correctly with free/non-free parts of the parameters.

• fgmCopula() fixed to work with rotCopula().

• iTau() fixed for joeCopula().

• Improved warning messages in iTau() and iRho().

• rCopula(<frankCopula>) now also works for the case of large tau and d > 2 (via re-parametrized log series distribution).

Changes in version 0.999-16 (2017-01-07, svn r1611)

Bug Fixes

• pK(u, log.p=TRUE) now correctly checks u.

• rotCopula(cop) now does rotate in the default case.

• vcov(fitCopula(*, "mpl")) now works (returning a matrix of NAs).

• fitCopula(joeCopula(), *, method = "itau") gave an error instead of warning.

• setTheta(<rotCopula>, <par>) now works.

• xvCopula(<rotCopula>, <data>) now works.

• fitMvdc() now works again for a “df.fixed-tCopula”.

• "mvdc" methods for contour(), persp() and wireframe2() now use ylim correctly.

• cCopula(<archmCopula>) failed for 2-dimensional AMH, Clayton, and Frank in the negative-\tau case.

  Also, cCopula() sometimes returned a vector instead of an n \times k matrix (which ?cCopula has promised always).

• pCopula() was wrong (but gave a warning) for some (unbalanced) nested archimedean copulas.

New Features

• Adding an abstraction level, using (currently hidden) "setr" and "getr" methods, allows to simplify class definition for "khoudrajiCopula" and fitCopula() now to also work e.g. for rotCopula(khoudrajiCopula(.), ..).

• The coef() method for fitCopula() or fitMvdc() results can get the matrix of parameters and their standard errors by the new option SE = TRUE.

• summary(fitCopula(*)) and summary(fitMvdc(*)) have a nicer print() method and print more than just printing the fitted objects. Note that

• printing fitCopula(*) or fitMvdc(*) no longer computes and prints standard errors ("Std. Error"), but printing summary(fit..(*)) does (see above).

• improved documentation about pK() and qK().

• mixCopula() and "mixCopula" class for arbitrary finite mixtures of copulas.

• splom2() now works when a single “global” color is specified.

Changes in version 0.999-15 (2016-07-24, svn r1438)

• C.n(u, X, *) now has X as second argument, calls pobs(X) and then F.n(*,*); previously, C.n and F.n were practically equivalent, which has been confusing.

• pobs() is more flexible, accepting numeric vectors, and e.g., keeping "xts" and "zoo" class attributes.

• improved R markdown vignettes.

• Internally, notably for etau() and "itau" fitting, make use of fast Kendall's tau from package pcaPP (via hidden corKendall()).

• fitCopula() gets now method "itau.mpl" for tCopulas, which implements the robust estimation method of Mashal and Zeevi (2002).

• various improvements in gofCopula() related to the alternative test statistics (method != "Sn").

• new xvCopula() function: cross-validated copula fitting for model selection.

• Asymmetric copulas are now better implemented; previous asymCopula() and asymExplicitCopula() are deprecated and to be replaced by khoudrajiCopula().

• “Rotated” copulas, i.e., generalizations of “survival” copulas, are now available via rotCopula().

• gofEVCopula()'s default optim.method has been changed from "Nelder-Mead" to "BFGS" in line with fitCopula() and because Nelder-Mead is warned against in the 1-dimensional case.

• new getAname() useful e.g., in htrafo().

• Parts of a parameter vector can be kept fixed (“known”), see fixedPar. The "tCopula" and "tevCopula" classes consequently no longer have a df slot.

• Functions deprecated (.Deprecated) since 2012, namely, K, beta.hat, calibKendallsTau, calibSpearmansRho, kendallsTau, spearmansRho, genInv, genFun, genFunDer1, genFunDer2, Afun, AfunDer, Anfun, dcopula, pcopula, rcopula, dmvdc, pmvdc, and rmvdc are now defunct (the user still sees them and gets a useful error message from .Defunct()!).

• Function tailindex is deprecated in favor of new lambda(); gofMB() and gofPB() calls are deprecated and to be replaced by gofCopula(.., simulation = *).

• Function rtrafo() has now been deprecated, users should work with cCopula() instead.

• Various improvements in data visualization tools such as contour(), persp(), contourplot2(), pairs2(), wireframe2(), cloud2() and splom2().

• qK() gets log.p option.

Changes in version 0.999-14 (2015-10-26, svn r1198)

• New demo "NALC" on nested Archimedean Levy copulas

• Explicitly import from "base packages"

• contour(<mvdc>, ..) gets new default box01=FALSE, as a [0,1]^2 box does not make sense for general multivariate distributions.

• coeffG() is exported (though still partly subject to change)

• new (rmarkdown -> knitr) vignette wild_animals from former demo.

• pCopula(*, cop) for normal- or t- copulas cop now accepts optional arguments to be passed to the underlying (numerical integration) algorithm from package mvtnorm.

• fixed the (dontrun) 3d example of gofCopula.

Changes in version 0.999-13 (2015-03-05, svn r1156)

• New demo on tail compatibility

• lsum(): also work for vectors and when result is zero, i.e. log(0) == -Inf.

Changes in version 0.999-12 (2014-10-01)

• Fix bug which did not allow to set non-default optim.method in gofCopula().

• Not fully back-compatible change: gofCopula() now passes all extra arguments via ... to fitCopula(). Before, gofPB() passed them to the trafo.method.

Changes in version 0.999-11 (2014-09-05)

• The default for the optional estimate.variance argument of fitCopula() and fitMvcd() now is TRUE only if the optimization converged.

• rtrafo() is more efficient for "normalCopula".

• fitMvdc() now also works when margin parameter has length >1.

• fitMvdc() gains optional arguments lower and upper for specifying box-constraints to optim().

Changes in version 0.999-10 (2014-06-18, r1116)

• Fixes some border cases, notably psi() for negative tau Gumbel, Clayton and AMH copulas,

• debye[12]() functions improvements (e.g., Inf)

• New log1pexp() from Rmpfr's vignette ‘log1mexp’.

• rho(<amhCopula>) now numerically stable, also works for \theta \approx 0, using Martin's beautiful formula, as documented in the new vignette ‘rhoAMH-dilog.Rnw’.

• Purely numerical .psiFrank() etc; accuracy improvements for psi(), rho(), tau() for small |\alpha| for Frank.

• New cospi2(), tanpi(); iTau() and iRho() have a smaller tolerance of 1e-7 and hence are more accurate where they use inversion.

• polylog(x, 2) now uses gsl's dilog().

• pCopula() now works for a t-copula with df=Inf.

Changes in version 0.999-9 (2014-05-05, r1085)

• rtrafo() with new option 'inverse=TRUE', hence can be used for sampling.

• Fixed overflow bug (seg.fault) for large n^2 p

• Fixed qqplot2() case

Changes in version 0.999-8 (2014-02-04, r1074)

• pobs(*, lower.tail) new optional argument.

• new optional argument indepC.maybe to (Archimedean) copula constructors.

• empirical copula functions C.n() and F.n()

• all.equal(*, tol) adaption to upcoming R changes.

Changes in version 0.999-7 (2013-05-21, r1026)

• a bug fix version, as 0.999-6 had in one case accidentally introduced a NON-back compatible version in gofCopula().

Changes in version 0.999-6 (2013-05-14)

• gofCopula() gets a new trafo.method argument, now also can use (new) htrafo() in addition to Rosenblatt's transform rtrafo.

• ...

Changes in version 0.999-5 (2012-12-03)

• new back-compatibility feature which allows older R scripts (notably the 2010 JSS paper) to still run without errors.

Changes in version 0.999-4 (2012-11-16)

• ...

Changes in version 0.999-3 (2012-10-27)

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Changes in version 0.999-2 (2012-10-25)

• ...

Changes in version 0.999-1 (2012-08-13)

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Changes in version 0.999-0 (2012-07-30)

After the copula week at ETH (July 9–13):

• Renaming (and deprecation) “orgy”: ... ...

• ...

• ...

• ...

Changes in version 0.99-4 (2012-07-03)

• dK(), pK(), qK(), rK(): Kendall's distribution functions.

• ...

Changes in version 0.99-2 (2012-05-30)

• export log1mexp()

• added facilities for Hofert & Maechler's graphical GOF testing.

• fixed corner cases of dcopulat() and dcopulaNormal().

• polyG() and dsumSibuya() improvements; possibly using Rmpfr.

• fixed "boundary overrun" bug in indepence tests built on empirical copula.

Changes in version 0.99-0 (2012-03-29)

• Big merge of former CRAN packages nacopula (Maechler and Hofert) and copula (Yan and Kojadinovic) into new “super package”.

• new class "Copula", with [dpr]copula() methods for "nacopula".