truncate_model: Truncate a vine copula model

In rvinecopulib: High Performance Algorithms for Vine Copula Modeling

Truncate a vine copula model

Description

Extracts a truncated sub-vine based on a truncation level supplied by user.

Usage

truncate_model(object, ...)

## S3 method for class 'rvine_structure'
truncate_model(object, trunc_lvl, ...)

## S3 method for class 'rvine_matrix'
truncate_model(object, trunc_lvl, ...)

## S3 method for class 'vinecop_dist'
truncate_model(object, trunc_lvl, ...)

## S3 method for class 'vine_dist'
truncate_model(object, trunc_lvl, ...)

Arguments

object	a model object.
...	further arguments passed to specific methods.
trunc_lvl	tree level after which the vine copula should be truncated.

Details

While a vine model for a d dimensional random vector contains at most d-1 nested trees, this function extracts a sub-model based on a given truncation level.

For instance, truncate_model(object, 1) results in a 1-truncated vine (i.e., a vine with a single tree). Similarly truncate_model(object, 2) results in a 2-truncated vine (i.e., a vine with two trees). Note that truncate_model(truncate_model(object, 1), 2) returns a 1-truncated vine.

Examples

# specify pair-copulas
bicop <- bicop_dist("bb1", 90, c(3, 2))
pcs <- list(
  list(bicop, bicop), # pair-copulas in first tree
  list(bicop) # pair-copulas in second tree
)

# specify R-vine matrix
mat <- matrix(c(1, 2, 3, 1, 2, 0, 1, 0, 0), 3, 3)

# set up vine structure
structure <- as_rvine_structure(mat)

# truncate the model
truncate_model(structure, 1)

# set up vine copula model
vc <- vinecop_dist(pcs, mat)

# truncate the model
truncate_model(vc, 1)

rvinecopulib documentation built on March 7, 2023, 6:20 p.m.