copula (version 0.999-1)

ellipCopula: Construction of elliptical copula class object

Description

Constructs an elliptical copula class object with its corresponding parameters and dimension.

Usage

ellipCopula (family, param, dim = 2, dispstr = "ex", df = 4, ...)
normalCopula(param, dim = 2, dispstr = "ex")
    tCopula (param, dim = 2, dispstr = "ex", df = 4, df.fixed = FALSE)

Arguments

family

a character string specifying the family of an elliptical copula. Implemented families are "normal" and "t".

param

a numeric vector specifying the parameter values.

dim

the dimension of the copula.

dispstr

a character string specifying the type of the symmetric positive definite matrix characterizing the elliptical copula. Implemented structures are "ex" for exchangeable, "ar1" for AR(1), "toep" for Toeplitz, and "un" for unstructured.

df

a integer value specifying the number of degrees of freedom of the multivariate t distribution used to construct the t copulas.

df.fixed

TRUE means that the degrees of freedom will never be considered as a parameter to be estimated; FALSE means that df will be estimated if the object is passed as argument to fitCopula.

...

currently nothing.

Value

• An elliptical copula object of class "normalCopula" or "tCopula".

See Also

archmCopula, fitCopula.

Examples

norm.cop <- normalCopula(c(0.5, 0.6, 0.7), dim = 3, dispstr = "un")
t.cop <- tCopula(c(0.5, 0.3), dim = 3, dispstr = "toep",
                 df = 2, df.fixed = TRUE)
## from the wrapper
norm.cop <- ellipCopula("normal", param = c(0.5, 0.6, 0.7),
                        dim = 3, dispstr = "un")
if(require("scatterplot3d")) {
  ## 3d scatter plot of 1000 random observations
  scatterplot3d(rCopula(1000, norm.cop))
  scatterplot3d(rCopula(1000, t.cop))
}