FDGcopula: Construction of FDG copula class object

In FDGcopulas: Multivariate Dependence with FDG Copulas

Description

Constructs a FDG copula class object.

Usage

FDGcopula(family, parameters, extremevalue=FALSE, checkbounds=TRUE)

Arguments

family	character to indicate the family of the generators
parameters	the parameter vector
extremevalue	boolean indicating if the extreme-value limit copula corresponding to the FDG copula is to be constructed instead
checkbounds	boolean indicating if an error message is to be produced in case of parameter values are out of their theoretical bounds

Details

The possible families are 'cuadrasauge', 'frechet', 'sinus' and 'exponential'. Control over the possibility of NOT returning an error message in case of wrong parameters is given to be able to use certain optimization algorithms.

Value

An object of class FDGcopula-class

Author(s)

Gildas Mazo

References

Mazo G., Girard, S., Forbes, F. A flexible and tractable class of one-factor copulas, http://hal.archives-ouvertes.fr/hal-00979147

See Also

FDGcopula-class for a description of the class

Examples

## Create a FDG copula with Cuadras-Aug\'e generators
## and parameter vector 'theta'
theta <- c(.3,.5,.7,.9)
myFDGcopula <- FDGcopula("cuadrasauge", theta)
str(myFDGcopula)

## Create its extreme-value limit copula
myExtremeValueFDGcopula <- FDGcopula("cuadrasauge", theta,
extremevalue=TRUE)
str(myExtremeValueFDGcopula)

## Note: the two above copulas are NOT the same!

Example output

Loading required package: Rcpp
Formal class 'FDGcopula' [package "FDGcopulas"] with 5 slots
  ..@ dimension     : int 4
  ..@ parameters    : num [1:4] 0.3 0.5 0.7 0.9
  ..@ family        : chr "cuadrasauge"
  ..@ extremevalue  : logi FALSE
  ..@ parameterrange: num [1:2] 0 1
Formal class 'FDGcopula' [package "FDGcopulas"] with 5 slots
  ..@ dimension     : int 4
  ..@ parameters    : num [1:4] 0.3 0.5 0.7 0.9
  ..@ family        : chr "cuadrasauge"
  ..@ extremevalue  : logi TRUE
  ..@ parameterrange: num [1:2] 0 1

FDGcopulas documentation built on May 2, 2019, 6:18 a.m.