https://actuarial.science/categories/copulas/ copulas Source Themes Academic (https://sourcethemes.com/academic/)en-us$copy 2026Mon, 21 Sep 2026 00:00:00 +0000 img/map[gravatar:%!s(bool=false) shape:circle] https://actuarial.science/categories/copulas/ https://actuarial.science/post/vinecopulas-kaimonslate/ Mon, 21 Sep 2026 00:00:00 +0000 https://actuarial.science/post/vinecopulas-kaimonslate/ <!-- LTeX: language=en --> <p>This post highlights two recent Julia projects:</p> <ul> <li> <a href="https://github.com/Santymax98/VineCopulas.jl" target="_blank" rel="noopener">VineCopulas.jl</a>, developed by <strong>Santiago Jimenez</strong>;</li> <li> <a href="https://github.com/kahliburke/KaimonSlate.jl" target="_blank" rel="noopener">KaimonSlate.jl</a>, developed by <strong>Kahli Burke</strong>.</li> </ul> <p>Kahli used KaimonSlate to produce the video and PDF below about VineCopulas.jl.</p> <h2 id="a-new-package-for-vine-copulas-in-julia">A new package for vine copulas in Julia</h2> <p>Vine copulas build high-dimensional dependence models from bivariate copulas. Each edge of a sequence of trees can carry its own pair-copula, allowing different dependence strengths, asymmetries, and tail behaviours within the same model.</p> <p>Santiago&rsquo;s <a href="https://github.com/Santymax98/VineCopulas.jl" target="_blank" rel="noopener">VineCopulas.jl</a> is a pure-Julia implementation built on top of <em>my baby</em> <a href="https://github.com/lrnv/Copulas.jl" target="_blank" rel="noopener">Copulas.jl</a>. It supports C-vines, D-vines, and general R-vines, and integrates them with the familiar Julia distribution workflow.</p> <p>The package can construct explicit vine models, evaluate densities, simulate observations, and apply Rosenblatt and inverse Rosenblatt transforms. It also provides pair-copula conditional primitives, truncated C- and D-vines, and exchange helpers for R-vine matrices.</p> <p>The video gives a quick sense of the objects involved:</p> <video controls preload="metadata" style="width: 100%; height: auto;" aria-label="Animated visual tour of VineCopulas.jl"> <source src="https://actuarial.science/media/vinecopulas-kaimonslate/slate-vines.mp4" type="video/mp4"> Your browser does not support embedded MP4 video. You can <a href="https://actuarial.science/media/vinecopulas-kaimonslate/slate-vines.mp4">download the video</a> instead. </video> <h2 id="the-visual-tour">The visual tour</h2> <p>The companion document covers the bivariate building blocks, C-vines, D-vines and R-vines, the Rosenblatt transform, truncation, quasi-Monte Carlo simulation, and an application to basin-wide flood risk. It includes both Julia code and visualizations.</p> <p><strong> <a href="https://actuarial.science/media/vinecopulas-kaimonslate/vine-tour.pdf">Download the 16-page VineCopulas.jl visual tour (PDF)</a></strong></p> <h2 id="kaimonslatejl">KaimonSlate.jl</h2> <p>KaimonSlate is a reactive computing environment for Julia supporting code, prose, equations, plots, widgets, media, presentations, and exported documents. More examples are available in <a href="https://slate-portfolio.pages.dev/" target="_blank" rel="noopener">Kahli&rsquo;s Slate portfolio</a>.</p> <p>Kudos to both of them! 🙂</p> <hr> <p><strong>Links:</strong> <a href="https://github.com/Santymax98/VineCopulas.jl" target="_blank" rel="noopener">VineCopulas.jl repository</a> · <a href="https://santymax98.github.io/VineCopulas.jl/dev/" target="_blank" rel="noopener">VineCopulas.jl documentation</a> · <a href="https://discourse.julialang.org/t/ann-vinecopulas-jl-c-vines-d-vines-and-experimental-r-vines-in-julia/137930" target="_blank" rel="noopener">VineCopulas.jl announcement</a> · <a href="https://slate-portfolio.pages.dev/" target="_blank" rel="noopener">Kahli Burke&rsquo;s Slate portfolio</a> · <a href="https://github.com/kahliburke/KaimonSlate.jl" target="_blank" rel="noopener">KaimonSlate.jl repository</a> · <a href="https://kahliburke.github.io/KaimonSlate.jl/" target="_blank" rel="noopener">KaimonSlate.jl documentation</a> · <a href="https://discourse.julialang.org/t/ann-kaimonslate-jl-a-reactive-environment-for-ambitious-work/139185" target="_blank" rel="noopener">KaimonSlate.jl announcement</a></p>