simcompositeCOP: Compute the L-comoments of a Two-Value Composited Copula by...

In wasquith/copBasic: General Bivariate Copula Theory and Many Utility Functions

Compute the L-comoments of a Two-Value Composited Copula by Simulation

Description

Simulate copula parameters and compute L-comoments and provision for plotting features for a composited copula using using two compositing parameters (see composite1COP as well as composite2COP). The compositing parameters are each independent and uniformly distributed:

\alpha \sim \mathrm{U}[0,1];\ \beta \sim \mathrm{U}[0,1]\mbox{.}

L-comoment estimation is provided by the lcomCOP.

Usage

simcompositeCOP(nsim=100, compositor=composite2COP,
                parents=NULL, ploton=FALSE, points=FALSE,
                showpar=FALSE, showresults=FALSE, digits=6, ...)

Arguments

nsim	Number of simulations to perform;
compositor	The compositing function, could be either composite1COP or composite2COP. Each of these is acceptable because two compositing parameters are used;
parents	A special parameter list (see Note);
ploton	A logical to toggle on intermediate plotting;
points	A logical to actually draw the simulations on the ploton by points() function in R;
showpar	Print the simulated parameter set with each iteration;
showresults	Print the results (useful if harvest results from a batch operation in R);
digits	The number digits to pass to round if showresults is true; and
...	Additional arguments to pass.

Value

An R matrix of results is returned. Each row represents a single simulation run. The first two columns are the \alpha and \beta compositing parameters and are labeled as such. The next two columns are the opposing diagonals, by first row and then second, of the L-comoment correlation. The following two columns are the opposing diagonals, by row and then second, of the L-coskew. The following two columns are the opposing diagonals, by row and then second, of the L-cokurtosis. The L-comoment columns are labeled to reflect the L-comoment matrix: T2.21 means the L-comoment correlation row 2 column 1 and T3.12 mean the L-coskew row 1 column 2. The remaining columns represent the \Theta_n parameters for copula 1, the \Theta_m parameters for copula 2. The columns are labeled Cop1Thetas or Cop2Thetas.

Note

The following descriptions list in detail the parents argument structure and content of the para argument:

cop1

— Function of the first copula;

cop2

— Function of the second copula;

para1gen

— Function to generate random parameters for the first copula; and

para2gen

— Function to generate random parameters for the second copula.

The para argument of this function are passed to the function contained in compositor and are therefore subject to further constraints in items should such constraints exist.

Author(s)

W.H. Asquith

References

Asquith, W.H., 2011, Distributional analysis with L-moment statistics using the R environment for statistical computing: Createspace Independent Publishing Platform, ISBN 978–146350841–8.

See Also

lcomCOP, simcomposite3COP

Examples

## Not run: 
# A single simulation result.
mainpara <- list(cop1=PLACKETTcop, cop2=PLACKETTcop,
                 para1gen=function() { return(c(10^runif(1,min=-5,max=0))) },
                 para2gen=function() { return(c(10^runif(1,min= 0,max=5))) })
v <- simcompositeCOP(nsim=1, parent=mainpara, showresults=TRUE)
print(v) # for review
## End(Not run)

wasquith/copBasic documentation built on Dec. 13, 2024, 6:39 p.m.