R/dvine.R

In vines: Multivariate Dependence Modeling with Vines

# vines: Multivariate Dependence Modeling with Vines
# Copyright (C) 2011-2015 Yasser Gonzalez Fernandez
# Copyright (C) 2011-2015 Marta Soto Ortiz
#
# This program is free software; you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation; either version 2 of the License, or
# (at your option) any later version.
#
# This program is distributed in the hope that it will be useful, but
# WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
# General Public License for more details.
#
# You should have received a copy of the GNU General Public License
# along with this program. If not, see <http://www.gnu.org/licenses/>.

setGeneric("dvine",
    function (vine, u) standardGeneric("dvine"),
    signature = "vine")


dCVineDVine <- function (vine, u) {
    if (is.vector(u)) u <- matrix(u, nrow = 1)

    if (vine@trees == 0) {
         # Product of the uniform marginal densities.
        rep(1, nrow(u))
    } else {
        evalCopula <- function (vine, j, i, x, y) {
            dCopula(cbind(x, y), vine@copulas[[j, i]], log = TRUE)
        }
        iterResult <- vineIter(vine, u, evalCopula = evalCopula)
        exp(apply(matrix(unlist(iterResult$evals), nrow(u)), 1, sum))
    }
}

setMethod("dvine", "CVine", dCVineDVine)
setMethod("dvine", "DVine", dCVineDVine)