copBasic (version 1.5.1)

simcomposite3COP: Simulation of a Composited Copula

Description

This function simulates and provides plotting features for a composited copula through composition by various methods.

Usage

simcomposite3COP(n=1000, nsim=100, compositor=composite3COP,
                 parents=NULL, ploton=FALSE, points=FALSE,
                 showpar=FALSE, showresults=FALSE, digits=6, ...)

Arguments

n

Sample size per simulation,

nsim

Number of simulations to perform,

compositor

The compositing function, could be composite1COP, composite2COP, composite3COP,

parents

A special parameter list() (see Note),

ploton

A logical to toggle on intermediate plotting,

points

A logical to actually draw the simulations on the ploton by points(),

showpar

Print the simulated parameter set with each iteration,

showresults

Print the results (useful if harvest results from a batch operation of R),

digits

The number digits to pass to round if showresults is true, and

...

Additional arguments to pass.

Value

• A matrix of results is returned. Each row represents a simulation run. The first two columns are the $\alpha$ and $\beta$ parameters and are labeled as such. The next two columns are the opposing diagonals, by first row and then second, of the L-comoment correlation. The following two columns are the opposing diagnonals, by row and then second, of the L-coskew. The L-comoment columns are labeled as such, T2.21 means the L-comoment correlation row 2 column 1 and T3.12 mean the L-coskew row 1 column 2. The remaining columns represent the $n$ parameters for copula 1, the $m$ parameters for copula 2. The columns are labeled Cop1Thetas or Cop2Thetas.

See Also

simcompositeCOP

Examples

mainpara <- list(cop1=PLACKETTcop,
                 cop2=PLACKETTcop,
                 para1gen=function() {
                       return(c(10^runif(1,min=-5,max=0))) },
                 para2gen=function() {
                       return(c(10^runif(1,min=0,max=5))) })

v <- simcompositeCOP(n=200, nsim=1, parent=mainpara, showresults=TRUE)
print(v)

mainpara <- list(cop1=PLACKETTcop,
                 cop2=Nelsoncop.4.2.12,
                 para1gen=function() {
                       return(c(10^runif(1,min=-5,max=5))) },
                 para2gen=function() {
                       return(c(10^runif(1,min= 0,max=2))) })
v <- simcomposite3COP(n=500, nsim=10, parent=mainpara)
plot(v[,5],v[,7])
points(v[,6],v[,8])

mainpara <- list(cop1=PLACKETTcop,
                 cop2=PLACKETTcop,
                 para1gen=function() {
                       return(c(10^runif(1,min=-5,max=0))) },
                 para2gen=function() {
                       return(c(10^runif(1,min= 0,max=5))) })
v <- simcomposite3COP(n=500, nsim=10, parent=mainpara)
plot(v[,5],v[,7])
points(v[,6],v[,8])