Changelog

igcop (development version) Unreleased

igcop 1.0.1 2021-10-13

  • Ensure specification of bd,eps,mxiter parameters match across all calls to the Newton Raphson algorithms.
  • Add tests for interp_gen_D1 at 0.
  • Added package documentation.

igcop 1.0.0 Unreleased

  • The package now has a C++ backend, by converting the four Newton-Raphson algorithms and their dependencies from R to C++.

Smaller changes:

  • Renamed tau argument to p in IG and IGL quantile functions.
  • Removed igl_gen_DD and igamma() internal functions, which were not used for copula quantities.

igcop 0.2.0 Unreleased

  • Added a NEWS.md file to track changes to the package.
  • Completed the collection of distributional quantities to match that of the CopulaModel package.
  • Computations of quantile functions are now more robust.
  • Changed the parameterization of the copula families to make them more numerically stable.
    • Small values of the parameter alpha (previously = k - 1) are now reliable.
  • Placed the theta and alpha parameters of the IG copula as their own arguments.

igcop 0.1.0 Unreleased

  • Computational tools for IG and IGL copulas are now available, using the original parameterization of these copulas as defined in Coia (2017) thesis.