VineCopula (version 2.2.0)

RVineCor2pcor: (Partial) Correlations for R-Vine Copula Models

Description

Correlations to partial correlations and vice versa for R-vines with independence, Gaussian and t-copulas.

Usage

RVineCor2pcor(RVM, corMat)
RVinePcor2cor(RVM)

Arguments

RVM

RVineMatrix defining only the R-vine structure for Cor2pcor and providing as well the partial correlations for Pcor2cor.

corMat

correlation matrix

Value

RVM

RVineMatrix with transformed partial correlations (for Cor2pcor)

cor

correlation matrix (for Pcor2cor)

Examples

# NOT RUN {
## create RVineMatrix-object for Gaussian vine
Matrix <- matrix(c(1, 3, 4, 2,
                   0, 3, 4, 2,
                   0, 0, 4, 2,
                   0, 0, 0, 2), 4, 4)
family <- matrix(c(0, 1, 1, 1,
                   0, 0, 1, 1,
                   0, 0, 0, 1,
                   0, 0, 0, 0), 4, 4)
par <- matrix(c(0, 0.2,   0, 0.6,
                0,   0, 0.2, 0.6,
                0,   0,   0, 0.6,
                0,   0,   0,   0), 4, 4)
RVM <- RVineMatrix(Matrix, family, par)

## calculate correlation matrix corresponding to the R-Vine model
newcor <- RVinePcor2cor(RVM)

## transform back to partial correlations
RVineCor2pcor(RVM, newcor)$par

## check if they are equal
all.equal(RVM$par, RVineCor2pcor(RVM, newcor)$par)

# }