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
, (\lambda[L],\lambda[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")
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.