swMATH ID: 38544
Software Authors: Maximilian Coblenz
Description: 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 copulas are accommodated. Furthermore, goodness-of-fit testing as well as model comparison tests are provided. The package is exclusively written in MATLAB and uses parallelization for efficient computing where appropriate. As a side effect, it extends the basic copula functionality of MATLAB. The MATVines package is illustrated with several examples.
Homepage: https://www.sciencedirect.com/science/article/pii/S2352711021000455
Source Code:  https://github.com/ElsevierSoftwareX/SOFTX-D-21-00039
Dependencies: Matlab
Keywords: SoftwareX; Vine copulas; Copulas; Dependence modeling; MATLAB; MATVines
Related Software: VineCopulaMATLAB; HACopula; VineCopula; CDVine; Matlab
Cited in: 0 Documents

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MATVines: A vine copula package for MATLAB Link
Maximilian Coblenz