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VineCopula (version 1.5)

RVineMatrix: R-Vine Copula Model in Matrix Notation

Description

This function creates an RVineMatrix object which encodes an R-vine copula model. It contains the matrix identifying the R-vine tree structure, the matrix identifying the copula families utilized and two matrices for corresponding parameter values.

Usage

RVineMatrix(Matrix, family = array(0, dim = dim(Matrix)),
            par = array(NA, dim = dim(Matrix)),
            par2 = array(NA, dim = dim(Matrix)), names=NULL)

Arguments

Matrix
Lower (or upper) triangular d x d matrix that defines the R-vine tree structure.
family
Lower (or upper) triangular d x d matrix with zero diagonal entries that assigns the pair-copula families to each (conditional) pair defined by Matrix (default: family = array(0,dim=dim(Matrix))). The bivariate copula
par
Lower (or upper) triangular d x d matrix with zero diagonal entries that assigns the (first) pair-copula parameter to each (conditional) pair defined by Matrix (default: par = array(NA, dim = dim(Matrix))).
par2
Lower (or upper) triangular d x d matrix with zero diagonal entries that assigns the second parameter for pair-copula families with two parameters to each (conditional) pair defined by Matrix (default: par2 = array(NA, dim = dim(Ma
names
A vector of names for the d variables; default: names = NULL.

Value

  • An RVineMatrix object with the following matrix components:
  • MatrixR-vine tree structure matrix.
  • familyPair-copula family matrix with values as above.
  • parPair-copula parameter matrix.
  • par2Second pair-copula parameter matrix with parameters necessary for pair-copula families with two parameters.

References

Dissmann, J. F., E. C. Brechmann, C. Czado, and D. Kurowicka (2013). Selecting and estimating regular vine copulae and application to financial returns. Computational Statistics & Data Analysis, 59 (1), 52-69.

See Also

RVineMatrixCheck, RVineMLE, RVineSim, C2RVine, D2RVine

Examples

Run this code
# define 5-dimensional R-vine tree structure matrix
Matrix <- c(5, 2, 3, 1, 4,
            0, 2, 3, 4, 1,
            0, 0, 3, 4, 1,
            0, 0, 0, 4, 1,
            0, 0, 0, 0, 1)
Matrix <- matrix(Matrix, 5, 5)

# define R-vine pair-copula family matrix
family <- c(0, 1, 3, 4, 4,
            0, 0, 3, 4, 1,
            0, 0, 0, 4, 1,
            0, 0, 0, 0, 3,
            0, 0, 0, 0, 0)
family <- matrix(family, 5, 5)

# define R-vine pair-copula parameter matrix
par <- c(0, 0.2, 0.9, 1.5, 3.9,
         0, 0, 1.1, 1.6, 0.9,
         0, 0, 0, 1.9, 0.5,
         0, 0, 0, 0, 4.8,
         0, 0, 0, 0, 0)
par <- matrix(par, 5, 5)

# define second R-vine pair-copula parameter matrix
par2 <- matrix(0, 5, 5)

# define RVineMatrix object
RVM <- RVineMatrix(Matrix = Matrix, family = family,
                   par = par, par2 = par2,
                   names = c("V1", "V2", "V3", "V4", "V5"))

# Print detailed information
print(RVM, detail = TRUE)

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