VineCopula (version 1.6-1)

RVinePar2Beta: Blomqvist's Beta Values of an R-Vine Copula Model

Description

This function computes the values of Blomqvist's beta corresponding to the parameters of an R-vine copula model.

Usage

RVinePar2Beta(RVM)

Arguments

RVM

An RVineMatrix object. Note that the Student's t-copula is not allowed since the CDF of the t-copula is not implemented (see BiCopCDF and

Value

• Matrix with the same structure as the family and parameter matrices of the RVineMatrix object RVM where the entries are values of Blomqvist's beta corresponding to the families and parameters of the R-vine copula model given by RVM.

See Also

RVineMatrix, BiCopPar2Beta

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"))

# compute the Blomqvist's beta values
BlomBeta <- RVinePar2Beta(RVM)