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Coblenz, Maximilian
SoftwareX, June 2021, 2021-06-00, 2021-06-01, Letnik: 14Journal Article
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.
