CopulaObj-class: An S4 class to represent a copula object to model the...
In cascsim: Casualty Actuarial Society Individual Claim Simulator
Description
An S4 class to represent a copula object to model the correlation.
Slots
typeThe type of the copula object.
paraA numeric vector that contains copula parameter(s).
marginalA list of Distribution objects.
dispstrThe format of symmetric positive definite matrix used by elliptical copula (Normal Copula, t Copula). The default is "un" for unstructured. Other choices include "ex" for exchangeable, "ar1" for AR(1), and "toep" for Toeplitz (toeplitz).
dfThe number of degrees of freedom used in t Copula.
observationA matrix that contains the experience data for copula fitting.
fitmethodThe method of copula fitting. Default is "mpl":maximum pseudo-likelihood estimator. Others include "ml": maximum likelihood assuming it is the true distribution; "itau": inversion of Kendall’s tau estimator; "irho": inversion of Spearman’s rho estimator.
fittestWhether to run goodness of fit test for copula fitting. Goodness of fit test could take a long time to finish.
fitsuccWhether a copula fitting is successful.
coutputGoodness of fit results.
infoA character string that contains additional information of the copula to identify line/type/frequency/time lag/severity.
cascsim documentation built on Jan. 13, 2020, 5:07 p.m.
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Description
An S4 class to represent a copula object to model the correlation.
Slots
typeThe type of the copula object.
paraA numeric vector that contains copula parameter(s).
marginalA list of Distribution objects.
dispstrThe format of symmetric positive definite matrix used by elliptical copula (Normal Copula, t Copula). The default is "un" for unstructured. Other choices include "ex" for exchangeable, "ar1" for AR(1), and "toep" for Toeplitz (toeplitz).
dfThe number of degrees of freedom used in t Copula.
observationA matrix that contains the experience data for copula fitting.
fitmethodThe method of copula fitting. Default is "mpl":maximum pseudo-likelihood estimator. Others include "ml": maximum likelihood assuming it is the true distribution; "itau": inversion of Kendall’s tau estimator; "irho": inversion of Spearman’s rho estimator.
fittestWhether to run goodness of fit test for copula fitting. Goodness of fit test could take a long time to finish.
fitsuccWhether a copula fitting is successful.
coutputGoodness of fit results.
infoA character string that contains additional information of the copula to identify line/type/frequency/time lag/severity.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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