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vinecopulib

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A C++ library for vine copula models (w/ interfaces to R + Python)

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# vinecopulib

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#### What is vinecopulib?

[vinecopulib](https://vinecopulib.github.io/vinecopulib/) is a header-only C++ library for vine copula models based on
[Eigen](http://eigen.tuxfamily.org/index.php?title=Main_Page). It provides
high-performance implementations of the core features of the popular
[VineCopula R library](https://github.com/tnagler/VineCopula), 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 multiparameter families.

The library also has interfaces for
[R](https://github.com/vinecopulib/rvinecopulib) and
[Python](https://github.com/vinecopulib/pyvinecopulib).

#### Contact

If you have any questions regarding the library, feel free to
[open an issue](https://github.com/vinecopulib/vinecopulib/issues/new) or
send a mail to [info@vinecopulib.org](mailto:info@vinecopulib.org).

#### Documentation

For documentation of the library's functionality and
instructions how to use it, check out our
[website](https://vinecopulib.github.io/vinecopulib/) or the `docs/` folder
in this repository.

vinecopulib

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