Changes for R-package CDVine

Ulf Schepsmeier and Eike Christian Brechmann <CDVine@ma.tum.de>


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)
