VineCopula (version 1.6-1)

RVineTreePlot: Visualisation of R-Vine Tree Structure

Description

This function plots one or all trees of a given R-vine copula model.

Usage

RVineTreePlot(data = NULL, RVM, method = "mle", max.df = 30,
              max.BB = list(BB1=c(5,6),BB6=c(6,6),BB7=c(5,6),BB8=c(6,1)),
              tree = "ALL", edge.labels = c("family"), P = NULL, legend = FALSE)

Arguments

data

An N x d data matrix (with uniform margins), default: data = NULL.

RVM

An RVineMatrix object including the structure and the pair-copula families and parameters.

method

Character indicating the estimation method: either maximum likelihood estimation (method = "mle"; default) or inversion of Kendall's tau (method = "itau").

max.df

Numeric; upper bound for the estimation of the degrees of freedom parameter of the t-copula (default: max.df = 30; for more details see BiCopEst).

max.BB

List; upper bounds for the estimation of the two parameters (in absolute values) of the BB1, BB6, BB7 and BB8 copulas (default: max.BB = list(BB1=c(5,6),BB6=c(6,6),BB7=c(5,6),BB8=c(6,1))).

tree

Number of the tree to be plotted or tree = "ALL" (default) to plot all trees.

edge.labels

Vector of edge labels. Possible choices: FALSE: no edge labels "family": pair-copula families (default) "par": pair-copula parameters "par2": second pair-copula parameters "theotau": theoret

P

A list of matrices with two columns for the x-y-coordinates of the nodes in the plot(s) (optional; default: P = NULL).

legend

If TRUE the variables are numbered from 1 to d and a legend is added to the plot(s). Otherwise node and edge lables are based on the variable names (default: legend = FALSE).

Value

• A list of matrices P with two columns for the x-y-coordinates of the nodes in the plot(s).

See Also

BiCopName

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"))

# set random seed for testing
set.seed(123)

# plot all trees with pair-copula families and
# theoretical Kendall's tau values as edge labels
P <- RVineTreePlot(data = NULL, RVM = RVM, tree = "ALL",
                   edge.labels = c("family","theotau"),
                   P = NULL)

# manipulate the first matrix of x-y-coordinates
P[[1]][1,] = P[[1]][1,]*2  

# re-set random seed for testing
set.seed(123)
# plot only the first tree with new coordinates
P <- RVineTreePlot(data = NULL, RVM = RVM, tree = 1,
                   edge.labels = FALSE, P = P)