Changes for R-package VineCopula

Ulf Schepsmeier, Jakob Stoeber, Eike Christian Brechmann and Benedikt Graeler <VineCopula@ma.tum.de>


Version 1.2 (October 09, 2013)

- New functionality:
  * RVinePIT 		Calculation of the probability integral transform (PIT) for R-vines
  * RVineGofTest 	15 different goodness-of-fit tests for R-vine copulas (Schepsmeier 2013).
  * print.RVM		A more detailed summary is printed if print(RVM, detail=TRUE) is set.
  * BetaMatrix  Matrix of empirical Blomqvist's beta values
  * BiCopPar2Beta   Blomqvist's beta value of a bivariate copula
  * RVinePar2Beta   Blomqvist's beta values of an R-vine copula model
  * New copula familes for most of the BiCop as well as for the RVine-functions: As an asymmetric extension of the Gumbel copula, the Tawn copula with three parameters is now also included in the package.
Both the Gumbel and the Tawn copula are extreme-value copulas, which can be defined in terms of their corresponding Pickands dependence functions.
For simplicity, we implemented two versions of the Tawn copula with two parameters each.
Each type has one of the asymmetry parameters fixed to 1, so that the corresponding Pickands dependence is either left- or right-skewed. In the manual we will call these two new copulas "Tawn type 1" and "Tawn type 2". 
The families 104,114,124,134 denote the Tawn copula and their rotated versions in the case of left skewness (Tawn type 1).
The families 204,214,224,234 denote the Tawn copula and their rotated versions in the case of right skewness (Tawn type 2).
  
- Bug fix:
  * BiCopPar2Tau: corrected calculation of Kendall's tau of rotated BB7 (Reported by Giampiero Marra. Thanks!)
  * RVineStructureSelect: Corrected code for the igraph package
  * RVineTreePlot: Now a 3-dimensional R-vine can be plotted too.
  * Corrected upper tail dependence coefficient for the survival BB1 copula (BiCopPar2TailDep)
  * Minor improvment in BiCopSelect regarding the starting values for parameter estimation

- Documentation update


Version 1.1-2 (July 09, 2013)

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

- Additional validy check of the R-vine matrix in RVineMatrix (Code provided by Harry Joe)
  Also available as separate function "RVineMatrixCheck"

- New bivariate copula: Reflection asymmetric Archimedean copula
  In our functions it is "family=41", and 51, 61, and 71 for the rotated versions.
  So far only implemented in some bivariate functions (not documented so far; experimental)

- New author: Benedikt Gr?ler  
  
- Bug fix:
  * New (correct) examples for the Clarke and Vuong test
  * Fixed memory problem in the C-function ktau (TauMatrix)
  

Version 1.1-1 (February 7, 2013)

- Bug fix:
  * Fixed issue with the inverse h-function of the Gumbel copula
  

Version 1.1 (February 4, 2013)

- New functions:
  * BiCopGofTest Goodness-of-fit test for bivariate copulas based on White's information matrix equality as introduced by Wanling and Prokhorov (2011).
    The formally included function BiCopGofKendall is now part BiCopGofTest (method="kendall").

- Additional edge label "pair" in RVineTreePlot to display the indices of the (conditioned) pairs of variables identified by the edges.

- In RVineStructureSelect and RVineCopSelect a truncation level can be set.

- Improved inverse h-functions for the Gumbel and Joe copulas (thanks to Harry Joe).

- C to R wrapping functions for the h-functions (Hfunc1, Hfunc2), the bivariate log-likelihood function (LL_mod_seperate), the bivariate Archimedean copula CDF (archCDF)
  and the simulation function for C- and D-vines (pcc) (request of Benedikt Graeler for the R-package "spcopula").
  
- The functions R2CVine and R2Dine were removed, since they were only correct in special cases.

- Bug fixes:
  * Work around for a problem with optim and the analytical gradient in BiCopEst
  * Improvement of the bivariate maximum likelihood estimation (BiCopEst)
  * In the functions BiCopCDF and BiCopGoFTest(..., method="Kendall") the t-copula is not implemented any more. 
    The calculation of the CDF was incorrect for non-integer values of the degrees-of-freedom parameter.
    The implemented algorithm in the mvtnorm package only works for integer values of the degrees-of-freedom parameter.
  * Improvement in the calculation of the cdf of the Frank copula (BiCopCDF)
