C2RVine: Transform C-Vine to R-Vine Structure

In VineCopula: Statistical Inference of Vine Copulas

Transform C-Vine to R-Vine Structure

Description

This function transforms a C-vine structure from the package CDVine to the corresponding R-vine structure.

Usage

C2RVine(order, family, par, par2 = rep(0, length(family)))

Arguments

order	A d-dimensional vector specifying the order of the root nodes in the C-vine.
family	A d*(d-1)/2 vector of pair-copula families with values 0 = independence copula 1 = Gaussian copula 2 = Student t copula (t-copula) 3 = Clayton copula 4 = Gumbel copula 5 = Frank copula 6 = Joe copula 7 = BB1 copula 8 = BB6 copula 9 = BB7 copula 10 = BB8 copula 13 = rotated Clayton copula (180 degrees; ⁠survival Clayton'') \cr `14` = rotated Gumbel copula (180 degrees; ⁠survival Gumbel”) 16 = rotated Joe copula (180 degrees; ⁠survival Joe'') \cr `17` = rotated BB1 copula (180 degrees; ⁠survival BB1”) 18 = rotated BB6 copula (180 degrees; ⁠survival BB6'')\cr `19` = rotated BB7 copula (180 degrees; ⁠survival BB7”) 20 = rotated BB8 copula (180 degrees; “survival BB8”) 23 = rotated Clayton copula (90 degrees) '24' = rotated Gumbel copula (90 degrees) '26' = rotated Joe copula (90 degrees) '27' = rotated BB1 copula (90 degrees) '28' = rotated BB6 copula (90 degrees) '29' = rotated BB7 copula (90 degrees) '30' = rotated BB8 copula (90 degrees) '33' = rotated Clayton copula (270 degrees) '34' = rotated Gumbel copula (270 degrees) '36' = rotated Joe copula (270 degrees) '37' = rotated BB1 copula (270 degrees) '38' = rotated BB6 copula (270 degrees) '39' = rotated BB7 copula (270 degrees) '40' = rotated BB8 copula (270 degrees) '104' = Tawn type 1 copula '114' = rotated Tawn type 1 copula (180 degrees) '124' = rotated Tawn type 1 copula (90 degrees) '134' = rotated Tawn type 1 copula (270 degrees) '204' = Tawn type 2 copula '214' = rotated Tawn type 2 copula (180 degrees) '224' = rotated Tawn type 2 copula (90 degrees) '234' = rotated Tawn type 2 copula (270 degrees)
par	A d*(d-1)/2 vector of pair-copula parameters.
par2	A d*(d-1)/2 vector of second pair-copula parameters (optional; default: par2 = rep(0,length(family))), necessary for the t-, BB1, BB6, BB7, BB8, Tawn type 1 and type 2 copulas.

Value

An RVineMatrix() object.

Author(s)

Ulf Schepsmeier, Eike Brechmann

See Also

RVineMatrix(), D2RVine()

Examples

# set up C-vine copula model with mixed pair-copulas
d <- 4
dd <- d*(d-1)/2
order <- 1:d
family <- c(1, 2, 3, 4, 7, 3)
par <- c(0.5, 0.4, 2, 1.5, 1.2, 1.5)
par2 <- c(0, 5, 0, 0, 2, 0)

# transform to R-vine matrix notation
RVM <- C2RVine(order, family, par, par2)

VineCopula documentation built on Sept. 11, 2024, 5:26 p.m.