View source: R/Vine_Copula_Sim.R View source: R/Vine_Copula_Sim.R
Vine_Copula_Sim | R Documentation |
Simulating from specified C- and D-vine copula models. Function is a repackaging of the RVineMatrix
and RVineMatrix
functions from the VineCopula
package into a single function.
Vine_Copula_Sim(Data, Vine_Model, Marginals, mu = 365.25, N = 10000)
Data |
Data frame containing |
Vine_Model |
An |
Marginals |
An |
mu |
(average) Number of events per year. Numeric vector of length one. Default is 365.25, daily data. |
N |
Number of years worth of extremes to be simulated. Numeric vector of length one. Default 10,000 (years). |
List comprising an integer vector specifying the pair-copula families composing the C- or D-vine copula Vine_family
, its parameters Vine_par
and Vine_par2
and type of regular vine Vine_Type
. In addition, data frames of the simulated observations: u.Sim
on the transformed $[0,1]^n$
and x.Sim
the original scales.
Vine_Copula_Fit
#Fitting vine copula
S20.Vine<-Vine_Copula_Fit(Data=S20.Detrend.df)
#Simulating from fitted copula
S20.Vine.Sim<-Vine_Copula_Sim(Data=S20.Detrend.df,Vine_Model=S20.Vine,
Marginals=S20.Migpd,N=10)
#Plotting observed (black) and simulated (red) values
S20.Pairs.Plot.Data<-data.frame(rbind(na.omit(S20.Detrend.df[,-1]),S22.Vine.Sim$x.Sim),
c(rep("Observation",nrow(na.omit(S20.Detrend.df))),
rep("Simulation",nrow(S20.Vine.Sim$x.Sim))))
colnames(S20.Pairs.Plot.Data)<-c(names(S20.Detrend.df)[-1],"Type")
pairs(S20.Pairs.Plot.Data[,1:3],
col=ifelse(S20.Pairs.Plot.Data$Type=="Observation","Black","Red"),
upper.panel=NULL)
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