VineCopula (version 1.6-1)

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:
• Matrix
  R-vine tree structure matrix.
• family
  Pair-copula family matrix with values as above.
• par
  Pair-copula parameter matrix.
• par2
  Second 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

# 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)