mixCopula-class | R Documentation |
"mixCopula"
of Copula MixturesThe class "mixCopula"
is the class of all finite mixtures of
copulas.
These are given by (a list of) m “arbitrary” copulas, and their respective m non-negative probability weights.
Objects are typically created by mixCopula()
.
w
:Object of class "mixWeights"
, basically a
non-negative numeric
vector of length, say m,
which sums to one.
cops
:Object of class "parClist"
, a
list
of (parametrized) copulas, "parCopula"
.
Class "parCopula"
, directly.
Class "Copula"
, by class "parCopula", distance 2.
signature(x = "mixCopula")
: dimension of copula.
signature(x = "mixCopula")
: Spearman's rho of
copula x
.
signature(x = "mixCopula")
: lower and upper
tail dependecies lambda
, (λ[L],λ[U]),
of the mixture copula.
As the probability weights must some to one (1
), which is part
of the validity (see validObject
) of an object of class
"mixWeights"
, the number of “free” parameters inherently
is (at most) one less than the number of mixture components
m.
Because of that, it does not make sense to fix (see
fixParam
or fixedParam<-
)
all but one of the weights: Either all are fixed, or at least two must
be free. Further note, that the definition of free or fixed
parameters, and the meaning of the methods (for mixCopula
) of
getTheta
, setTheta
and
fixedParam<-
will probably change in a next release of
package copula, where it is planned to use a reparametrization
better suited for fitCopula
.
mixCopula
for creation and examples.
showClass("mixCopula")
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