rnacModel: Random nacopula Model

In copula: Multivariate Dependence with Copulas

Random nacopula Model

Description

Randomly construct a nested Archimedean copula model,

Usage

rnacModel(family, d, pr.comp, rtau0 = function() rbeta(1, 2,4),
          order=c("random", "each", "seq"), digits.theta = 2)

Arguments

family	the Archimedean family
d	integer >=2; the dimension
pr.comp	probability of a direct component on each level
rtau0	a function to generate a (random) tau, corresponding to theta0, the outermost theta.
order	string indicating how the component IDs are selected.
digits.theta	integer specifying the number of digits to round the theta values.

Value

an object of outer_nacopula.

See Also

rnacopula for generating d-dimensional observations from an (outer) nacopula, e.g., from the result of rnacModel().

Examples

## Implicitly tests the function {with validity of outer_nacopula ..}
set.seed(11)
for(i in 1:40) {
  m1 <- rnacModel("Gumbel", d=sample(20:25, 1), pr.comp = 0.3,
		  rtau0 = function() 0.25)
  m2 <- rnacModel("Joe", d=3, pr.comp = 0.1, order="each")
  mC <- rnacModel("Clayton", d=20, pr.comp = 0.3,
		  rtau0 = function() runif(1, 0.1, 0.5))
  mF <- rnacModel("Frank", d=sample(20:25, 1), pr.comp = 0.3, order="seq")
}

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