Description Usage Arguments Value Methods References See Also Examples
Probability integral transform (PIT) of (Rosenblatt, 1952) for vine models. The PIT converts a set of dependent variables into a new set of variables which are independent and uniformly distributed in (0,1) under the hypothesis that the data follows a given multivariate distribution.
1 | vinePIT(vine, u)
|
vine |
A |
u |
Vector with one component for each variable of the vine or a matrix with one column for each variable of the vine. |
A matrix with one column for each variable of the vine and one row for each observation.
signature(vine = "CVine")
PIT algorithm for
CVine
objects based on the Algorithm 5 of
(Aas et al., 2009).
signature(vine = "DVine")
PIT algorithm for
DVine
objects based on the Algorithm 6 of
(Aas et al., 2009).
Aas, K. and Czado, C. and Frigessi, A. and Bakken, H. (2009) Pair-copula constructions of multiple dependence. Insurance: Mathematics and Economics 44, 182–198.
Rosenblatt, M. (1952) Remarks on multivariate transformation. Annals of Mathematical Statistics 23, 1052–1057.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 | dimension <- 3
copulas <- matrix(list(normalCopula(0.5),
claytonCopula(2.75),
NULL, NULL),
ncol = dimension - 1,
nrow = dimension - 1,
byrow = TRUE)
vine <- CVine(dimension = dimension, trees = 1,
copulas = copulas)
data <- matrix(runif(dimension * 100),
ncol = dimension, nrow = 100)
vinePIT(vine, data)
|
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