VineCopula (version 1.5)

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 =

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

# simulate a sample of size 500 from a 4-dimensional D-vine 
# copula model with mixed pair-copulas
# load package CDVine
library(CDVine)
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)
type <- 2
simdata <- CDVineSim(500, family, par, par2, type)

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

# transform to R-vine matrix notation
RVM <- D2RVine(order, family, par, par2)

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