MATVines: A vine copula package for MATLAB
Vine copulas provide a way to model a d-dimensional copula with bivariate building blocks and have been applied to a wide range of research topics. The MATVines package is presented, which implements vine copula functionalities for MATLAB. In particular, simulation and estimation of regular vine cop...
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| Format: | Article |
| Language: | English |
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Elsevier
2021-06-01
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| Series: | SoftwareX |
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| Online Access: | http://www.sciencedirect.com/science/article/pii/S2352711021000455 |