Description:
pyvinecopulib 0.6.6
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 (>=1.14)
To install from source:
pybind11 (>=2.4)
setuptools (>=30.3.0)
setuptools_scm (>=2.0.0)
a compiler with C++11 support (Linux, OS X) or Visual Studio 2015 (required for all Python versions, see notes below)
Eigen (the environment variable EIGEN3_INCLUDE_DIR must be set to the directory containing the Eigen headers)
boost (the environment variable Boost_INCLUDE_DIR must be set to the directory containing the boost headers)
Installation
The easiest way to install the latest release is to use pip:
pip install pyvinecopulib
To install from source, just clone this repository and do pip install.
Note the --recursive option which is needed for the vinecopulib and wdm submodules:
git clone --recursive https://github.com/vinecopulib/pyvinecopulib.git
pip install ./pyvinecopulib
Note that Eigen and Boost need to be available on your system for the build to succeed, using the environment variables EIGEN3_INCLUDE_DIR and Boost_INCLUDE_DIR respectively.
Examples
Jupyter notebooks with examples can be found in the examples folder.
Documentation
For documentation of the pyvinecopulib's functionality and
instructions how to use it, check out our
website or the docs/ folder
in this repository.
Building the documentation
Documentation for the example project is generated using Sphinx and the "Read the Docs" theme.
The following command generates HTML-based reference documentation; for other
formats please refer to the Sphinx manual:
pip install sphinx-rtd-theme
cd pyvinecopulib/docs
python3 serve_sphinx.py
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
This package requires a C++11 compliant compiler, i.e Visual Studio 2015 on Windows.
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.
Contact
If you have any questions regarding the library, feel free to
open an issue or
send a mail to info@vinecopulib.org.
License
For personal and professional use. You cannot resell or redistribute these repositories in their original state.
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