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FactorCopulaModel (version 0.1.1)

residDep: correlation matrix for 1-factor plus 1-truncated vine (for residual dependence)

Description

correlation matrix for 1-factor plus 1-truncated vine (for residual dependence)

Usage

residDep(cormat,loading)

Value

list with R = correlation matrix for structure of 1-factor+Markov tree residual dependence;incl = d*(d-1)/2 binary vector: indicator of edges [1,2], [1,3], [2,3], [1,4], ...[d-1,d] edges in tree with d-1 edges; partcor = conditional correlation matrix given the latent variable.

Arguments

cormat

dxd correlation matrix

loading

d-dimensional loading vector (for latent factor), -1<loading[j]<1

Details

MST algorithm with weights log(1-rho^2), rho's are partial correlations fiven the latent variable. not exported