Changes for R-package CDVine

Ulf Schepsmeier and Eike Christian Brechmann and Tobias Erhardt <tobias.erhardt@tum.de>


Version 1.3 (July 30, 2015)

- reformating of the code using the formatR package

- Bug fix:
  * BiCopSelect: For the rotated BB7 and BB8 (family=37, 38) the limiting cases were incorrect for very small parameters (copy&paste error) (Reported by Radek Solnicky. Thanks!)


Version 1.2 (March 26, 2014)

- Maintainer changed from Ulf Schepsmeier to Tobias Erhardt (tobias.erhardt@tum.de)

- Bug fix:
  * Improved calculation of Kendall's tau for the Joe copula (Thanks to Harry Joe). 

Version 1.1-13 (August 12, 2013)

- Changed dependency from "igraph0" to "igraph" since the support for "igraph0" will be quit soon.

- Bug fix:
  * Fixed memory problem in the C-function ktau (TauMatrix)


Version 1.1-12 (April 16, 2013)

- Bug fix:
  * Combination of Student's t copula and independence copula in CDVineMLE (Reported by Tobias Erhardt. Thanks!)
  * The C-function ktau had a memory-access error (Reported by Prof Brian Ripley. Thanks!)

  
Version 1.1-11 (January 17, 2013)

- Changes in the examples to pass the checks. Run time is reduced.


Version 1.1-10 (January 15, 2013)

- Vignette removed. Vignette is now published in the Journal of Statistical Software.

  Brechmann, E. C. and U. Schepsmeier (2013).
  Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine.
  Journal of Statistical Software, 52 (3), 1-27.
  http://www.jstatsoft.org/v52/i03/
  

Version 1.1-9 (July 3, 2012)

- Fixed compatibility issue with VineCopula.


Version 1.1-8 (July 2, 2012)

- Update of the vignette.

- Bug fix:
  * bounds for elliptical copulas in BiCopLambda
  

Version 1.1-7 (May 21, 2012)

- Changed X11() to dev.new() in examples.

- Bug fix:
  * fixed BIC in BiCopSelect
  * improved estimation of Student-t copula in BiCopSelect


Version 1.1-6 (May 13, 2012)

- Changed dependency from "igraph" to "igraph0" because of upcoming major update of the package "igraph", which is not backwards compatible.

- Update of references cited in the manual.

- Implementation of a more stable version of Kendall's tau for the BB7 copula (BiCopPar2Tau).

- Improved implementation of the bivariate copula selection function (BiCopSelect).


Version 1.1-5 (December 28, 2011)

- Bug fix:
  * fixed lower bound of the parameter of the Joe copula in CDVineMLE


Version 1.1-4 (October 21, 2011)

- Raised lower bound of the degrees of freedom of the Student-t copula to 2 in order to improve numerical stability.

- Bug fix:
  * fixed BiCopPar2Tau for the Joe copula at par=2
  

Version 1.1-3 (October 20, 2011)

- Bug fix:
  * fixed CDVineLogLik for d=2


Version 1.1-2 (October 12, 2011)

- Bug fixes:
  * fixed the rotation in BiCopPDF
  * fixed BIC-penalty term in BiCopSelect
  * fixed Frank copula in BiCopTau2Par for tau=0
  

Version 1.1-1 (August 29, 2011)

- Additional control parameters for optim can be specified in CDVineMLE.

- Faster calculation of
  * CDFs
  * PDFs
  * log-likelihoods
  * h-functions

- Implementation of closed form of the inverse conditional cdf of the Frank copula.

- Higher upper bound for the calculation of the copula parameter by inversion of Kendall's tau for the Frank and Joe copulas (BiCopTau2Par and BiCopEst). Now a Kendall's tau up to 0.996 is possible.

- Bug fixes:
  * fixed the calculation of log-likelihood of the survival BB8 copula
  * fixed the output of CDVineCopulaSelect (second parameter of the BB copula and its rotated versions)


Version 1.1 (June 15, 2011)

- Inclusion of the package vignette.

- Faster implementation of the C-vine simulation algorithm.

- Implementation of the BB6 and BB8 copulas.

- Implementation of the rotated versions of the BB1, BB6, BB7 and BB8 copulas (rotation by 90, 180 and 270 degrees).
  (Rotation by 180 degrees corresponds to the survival copula.)

- Improvement of the MLE of the bivariate t-copula (BiCopEst), especially of the degrees of freedom (par2).

- Stability improvement of the calculation of the inverse h-function (conditional distribution function).

- Bug fixes:
  * fixed the calculation of the CDFs at the boundaries (BiCopCDF)
  * fixed the calculation of the PDFs at the boundaries (BiCopPDF)
  * general improvement of the calculation of the CDF, PDF and log-likelihood of the BB1 and BB7 copulas


Version 1.0-4 (June 2, 2011)

- Improvement of the MLE of the bivariate Gaussian copula (BiCopEst).


Version 1.0-3 (May 30, 2011)

- Bug fixes:
  * fixed the calculation of the survival Joe copula density (BiCopPDF)
  * fixed the calculation of Archimedean copula distribution functions (BiCopCDF)


Version 1.0-2 (May 23, 2011)

- Bug fix:
  * fixed compatibility problem with Mac OS X


Version 1.0-1 (May 18, 2011)

- Implementation of a fast computation algorithm for Kendall's tau based on the algorithm of Knight (1966) (references see manual).

- Improvement of the calculation of the lambda-function (BiCopLambda).

- New output of the functions CDVineAIC and CDVineBIC: individual contributions to the AIC or BIC value for each pair-copula, respectively.

- Bug fixes:
  * fixed the calculation of p-values in CDVineClarkeTest
  * fixed the calculation of the goodness-of-fit test (BiCopGofKendall)
