VineCopula (version 1.6-1)

vineCopula: Constructor of the Class vineCopula.

Description

Constructs an instance of the vineCopula class.

Usage

vineCopula(RVM, type = "CVine")

Arguments

RVM

An object of class RVineMatrix generated from RVineMatrix in the package VineCopula-package or an integer (e.g. 4L)

type

A predefined type if only the dimension is provided and ignored otherwise, the default is a canonical vine

Value

• An instance of the vineCopula class.

References

Aas, K., C. Czado, A. Frigessi, and H. Bakken (2009). Pair-copula constructions of multiple dependence Insurance: Mathematics and Economics 44 (2), 182-198.

Examples

# a C-vine of independent copulas
vine <- vineCopula(4L, "CVine")

library(copula)
library(lattice)

cloud(V1 ~ V2 + V3, as.data.frame(rCopula(500, vine)))