VineCopulaMatlab toolbox

A MATLAB toolbox for vine copulas based on the C++ shared library VineCopulaCPP

Description of the Vine Copulas with C++ toolbox

The toolbox can be used for high-dimensional dependence modeling with vine copula models. A key feature of the toolbox is a framework, which allows to test whether the simplifying assumption is a reasonable assumption for approximating high-dimensional distributions using simplified vine copula models.


Hosting and bug reporting


Please see the demo for further details about the functionality of the VineCPP toolbox.




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Author: Malte Kurz