nacopula-class: Class "nacopula" of Nested Archimedean Copulas

In copula: Multivariate Dependence with Copulas

Class "nacopula" of Nested Archimedean Copulas

Description

Class of nested Archimedean Copulas, "nacopula", and its specification "outer_nacopula" differ only by the validation method, which is stricter for the outer(most) copula (the root copula).

Objects from the Class

Objects can be created by calls of the form new("nacopula", ...), which is only intended for experts. Root copulas are typically constructed by onacopula(.).

Slots

copula:

an object of class "acopula", denoting the top-level Archimedean copula of the nested Archimedean copula, that is, the root copula.

comp:

an integer vector (possibly of length 0) of indices of components in 1:d which are not nested Archimedean copulas. Here, d denotes the dimension of the random vectors under consideration; see the dim() method below.

childCops:

a (possibly empty) list of further nested Archimedean copulas (child copulas), that is, objects of class "nacopula". The "nacopula" objects therefore contain "acopula" objects as special cases.

Methods

dim

signature(x = "nacopula"): returns the dimension d of the random vector U following x.

show

signature("nacopula"): calling printNacopula for a compact overview of the nested Archimedean copula under consideration.

See Also

onacopula for building (outer) "nacopula" objects. For the class definition of the copula component, see acopula.

Examples

## nacopula and outer_nacopula class information
showClass("nacopula")
showClass("outer_nacopula")

## Construct a three-dimensional nested Frank copula with parameters
## chosen such that the Kendall's tau of the respective bivariate margins
## are 0.2 and 0.5.
theta0 <- copFrank@iTau(.2)
theta1 <- copFrank@iTau(.5)
C3 <- onacopula("F", C(theta0, 1, C(theta1, c(2,3))))

C3 # displaying it, using show(C3); see help(printNacopula)

## What is the dimension of this copula?
dim(C3)

## What are the indices of direct components of the root copula?
C3@comp

## How does the list of child nested Archimedean copulas look like?
C3@childCops # only one child for this copula, components 2, 3

copula documentation built on Sept. 11, 2024, 7:48 p.m.