RVineMatrixNormalize: Normalization of R-Vine Matrix

In tnagler/VineCopula: Statistical Inference of Vine Copulas

Normalization of R-Vine Matrix

Description

An RVineMatrix() is permuted to achieve a natural ordering (i.e. diag(RVM$Matrix) == d:1)

Usage

RVineMatrixNormalize(RVM)

Arguments

RVM	RVineMatrix() defining the R-vine structure

Value

RVM	An RVineMatrix() in natural ordering with entries in RVM$names keeping track of the reordering.

Examples

Matrix <- matrix(c(5, 2, 3, 1, 4,
                   0, 2, 3, 4, 1,
                   0, 0, 3, 4, 1,
                   0, 0, 0, 4, 1,
                   0, 0, 0, 0, 1), 5, 5)
family <- matrix(1,5,5)

par <- matrix(c(0, 0.2, 0.9, 0.5, 0.8,
                0,   0, 0.1, 0.6, 0.9,
                0,   0,   0, 0.7, 0.5,
                0,   0,   0,   0, 0.8,
                0,   0,   0,   0,   0), 5, 5)

# define RVineMatrix object
RVM <- RVineMatrix(Matrix, family, par)

# normalise the RVine
RVineMatrixNormalize(RVM)

tnagler/VineCopula documentation built on April 13, 2025, 1:40 p.m.