pnestfactcop: Bivariate marginal copula cdfs for nested-factor copula...

In YafeiXu/CopulaModel: CopulaModel: Dependence Modeling with Copulas

Description

Bivariate marginal copula cdfs for nested-factor copula models

Usage

pnest2cop(u1,u2,dcop1,pcondcop2,param1,param2,nq)
pnest2frk(u1,u2,param)  # nq defaulted to 35 etc
pnest2gum(u1,u2,param)  # nq defaulted to 35 etc
pnest2t(u1,u2,param,df)  # nq defaulted to 35 etc
pnest2tgum(u1,u2,param,df)  # nq defaulted to 35 etc
pnest2tbb1(u1,u2,param,df)  # nq defaulted to 35 etc
pnest2gumbb1(u1,u2,param)  # nq defaulted to 35 etc

Arguments

u1	vector of values in interval 0,1;
u2	vector of values in interval 0,1; same length as u1
param1	vector of length 2 or 2xq matrix where q is number of parameters for the bivariate copula (e.g. BB1) in dcop1; parameters that link observed variables to common latent
param2	vector of length 2 or 2xq matrix where q is number of parameters for the bivariate copula in pcondcop2; parameters that link observed variables to nested group latent variable
param	column 1 has parameters for global/common latent, column 2 (and column 3 for pnest2tbb1,pnest2gumbb1) has parameters for group latent
df	shape or df parameter for bivariate t linking copula
dcop1	function for pdf of copula family for global/common latent
pcondcop2	function for conditional cdf of copula family for nested group factor
nq	number of quadrature points for Gauss-Legendre quadrature

Details

This function is the bivariate marginal cdf of nested copula for two variables in different groups (for within the same group, the bivariate maeginal cdf is a 1-factor copula margin.

Value

cdf value(s)

See Also

structcop

Examples

pnest2fgm=function(u1,u2,param)
{ f=pnest2cop(u1,u2,dfgm,pcondfgm,param[,1],param[,2],35);
  f=f*(f<=1)+(f>1)
  f
}
th1a=frk.b2cpar(.7)
th1b=frk.b2cpar(.6)
th2a=frk.b2cpar(.5)
th2b=frk.b2cpar(.4)
u1=seq(.1,.9,.2)
u2=seq(.3,.7,.1)
pnest2frk(u1,u2,matrix(c(th1a,th1b,th2a,th2b),2,2))
pnest2gum(u1,u2,matrix(c(th1a,th1b,th2a,th2b),2,2))
pnest2t(u1,u2,matrix(c(.5,.6,.5,.4),2,2),c(5,5))
pnest2tgum(u1,u2,matrix(c(.5,.6,1.5,1.4),2,2),5)
pnest2tbb1(u1,u2,matrix(c(.5,.6,.4,.5,1.5,1.4),2,3),5)
pnest2gumbb1(u1,u2,matrix(c(1.5,1.6,.4,.5,1.5,1.4),2,3))
pnest2fgm(u1,u2,matrix(c(.5,.4,.6,.7),2,2))

YafeiXu/CopulaModel documentation built on May 9, 2019, 11:07 p.m.