Learn R Programming

VineCopula (version 2.2.0)

D2RVine: Transform D-Vine to R-Vine Structure

Description

This function transforms a D-vine structure from the package CDVine to the corresponding R-vine structure.

Usage

D2RVine(order, family, par, par2 = rep(0, length(family)))

Arguments

order

A d-dimensional vector specifying the order of the nodes in the D-vine.

family

A d*(d-1)/2 vector of pair-copula families with values 0 = independence copula 1 = Gaussian copula 2 = Student t copula (t-copula) 3 = Clayton copula 4 = Gumbel copula 5 = Frank copula 6 = Joe copula 7 = BB1 copula 8 = BB6 copula 9 = BB7 copula 10 = BB8 copula 13 = rotated Clayton copula (180 degrees; ``survival Clayton'') 14 = rotated Gumbel copula (180 degrees; ``survival Gumbel'') 16 = rotated Joe copula (180 degrees; ``survival Joe'') 17 = rotated BB1 copula (180 degrees; ``survival BB1'') 18 = rotated BB6 copula (180 degrees; ``survival BB6'') 19 = rotated BB7 copula (180 degrees; ``survival BB7'') 20 = rotated BB8 copula (180 degrees; ``survival BB8'') 23 = rotated Clayton copula (90 degrees) 24 = rotated Gumbel copula (90 degrees) 26 = rotated Joe copula (90 degrees) 27 = rotated BB1 copula (90 degrees) 28 = rotated BB6 copula (90 degrees) 29 = rotated BB7 copula (90 degrees) 30 = rotated BB8 copula (90 degrees) 33 = rotated Clayton copula (270 degrees) 34 = rotated Gumbel copula (270 degrees) 36 = rotated Joe copula (270 degrees) 37 = rotated BB1 copula (270 degrees) 38 = rotated BB6 copula (270 degrees) 39 = rotated BB7 copula (270 degrees) 40 = rotated BB8 copula (270 degrees) 104 = Tawn type 1 copula 114 = rotated Tawn type 1 copula (180 degrees) 124 = rotated Tawn type 1 copula (90 degrees) 134 = rotated Tawn type 1 copula (270 degrees) 204 = Tawn type 2 copula 214 = rotated Tawn type 2 copula (180 degrees) 224 = rotated Tawn type 2 copula (90 degrees) 234 = rotated Tawn type 2 copula (270 degrees)

par

A d*(d-1)/2 vector of pair-copula parameters.

par2

A d*(d-1)/2 vector of second pair-copula parameters (optional; default: par2 = rep(0,length(family))), necessary for the t-, BB1, BB6, BB7, BB8, Tawn type 1 and type 2 copulas.

Value

An RVineMatrix object.

See Also

RVineMatrix, C2RVine

Examples

Run this code
# NOT RUN {
# set up D-vine copula model with mixed pair-copulas
d <- 4
dd <- d*(d-1)/2
order <- 1:d
family <- c(1, 2, 3, 4, 7, 3)
par <- c(0.5, 0.4, 2, 1.5, 1.2, 1.5)
par2 <- c(0, 5, 0, 0, 2, 0)

# transform to R-vine matrix notation
RVM <- D2RVine(order, family, par, par2)
# }
# NOT RUN {
# load package CDVine for comparison
library(CDVine)

# simulate a sample of size 500 from a 4-dimensional D-vine
type <- 2  # D-vine
simdata <- CDVineSim(500, family, par, par2, type)

# determine log-likelihood
out <- CDVineLogLik(simdata, family, par, par2, type)
out$loglik

# check that log-likelihood stays the same
out2 <- RVineLogLik(simdata, RVM)
out2$loglik
# }

Run the code above in your browser using DataLab