In ajmcneil/KendallSignature: Kendall Concordance Signatures

knitr::opts_chunk$set(
  collapse = TRUE,
  comment = "#>"
)
library(KendallSignature)

Generating mixtures of extremal copulas

First we illustrate how each extremal copula is coded with a binary number.

binarycoding(c(1:8), 4)

Suppose we wanted to generate 10 realisations from copula 2 in 4 dimensions.

U <- rextremal(rep(2, 10), 4)
U
cor(U)

Now suppose wanted generate a mixture from all 4 dimensional copulas. Here we use an increasing series of weights. The Pearson and Kendall correlations matrice of the extremal mixture copula are identical and their sample estimates should be close.

set.seed(17)
U <- rextremalmix((1:8)/36, 1000)
cor(U)
cor(U, method = "kendall")

ajmcneil/KendallSignature documentation built on Jan. 25, 2022, 11:54 p.m.