BiCop: Constructing BiCop-objects

In VineCopula: Statistical Inference of Vine Copulas

Constructing BiCop-objects

Description

This function creates an object of class BiCop and checks for family/parameter consistency.

Usage

BiCop(family, par, par2 = 0, tau = NULL, check.pars = TRUE)

Arguments

family	An integer defining the bivariate copula family: 0 = independence copula 1 = Gaussian copula 2 = Student t copula (t-copula) 3 = Clayton copula 4 = Gumbel copula 5 = Frank copula 6 = Joe copula 7 = BB1 copula 8 = BB6 copula 9 = BB7 copula 10 = BB8 copula 13 = rotated Clayton copula (180 degrees; ⁠survival Clayton'') \cr `14` = rotated Gumbel copula (180 degrees; ⁠survival Gumbel”) 16 = rotated Joe copula (180 degrees; ⁠survival Joe'') \cr `17` = rotated BB1 copula (180 degrees; ⁠survival BB1”) 18 = rotated BB6 copula (180 degrees; ⁠survival BB6'')\cr `19` = rotated BB7 copula (180 degrees; ⁠survival BB7”) 20 = rotated BB8 copula (180 degrees; “survival BB8”) 23 = rotated Clayton copula (90 degrees) '24' = rotated Gumbel copula (90 degrees) '26' = rotated Joe copula (90 degrees) '27' = rotated BB1 copula (90 degrees) '28' = rotated BB6 copula (90 degrees) '29' = rotated BB7 copula (90 degrees) '30' = rotated BB8 copula (90 degrees) '33' = rotated Clayton copula (270 degrees) '34' = rotated Gumbel copula (270 degrees) '36' = rotated Joe copula (270 degrees) '37' = rotated BB1 copula (270 degrees) '38' = rotated BB6 copula (270 degrees) '39' = rotated BB7 copula (270 degrees) '40' = rotated BB8 copula (270 degrees) '104' = Tawn type 1 copula '114' = rotated Tawn type 1 copula (180 degrees) '124' = rotated Tawn type 1 copula (90 degrees) '134' = rotated Tawn type 1 copula (270 degrees) '204' = Tawn type 2 copula '214' = rotated Tawn type 2 copula (180 degrees) '224' = rotated Tawn type 2 copula (90 degrees) '234' = rotated Tawn type 2 copula (270 degrees)
par	Copula parameter.
par2	Second parameter for bivariate copulas with two parameters (t, BB1, BB6, BB7, BB8, Tawn type 1 and type 2; default is par2 = 0). par2 should be an positive integer for the Students's t copula family = 2.
tau	numeric; value of Kendall's tau; has to lie in the interval (-1, 1). Can only be used with one-parameter families and the t copula. If tau is provided, par will be ignored.
check.pars	logical; default is TRUE; if FALSE, checks for family/parameter-consistency are omitted (should only be used with care).

Value

An object of class BiCop(). It is a list containing information about the bivariate copula. Its components are:

family, par, par2	copula family number and parameter(s),
npars	number of parameters,
familyname	name of the copula family,
tau	Kendall's tau,
beta	Blomqvist's beta,
taildep	lower and upper tail dependence coefficients,
call	the call that created the object.

Objects of this class are also returned by the BiCopEst() and BiCopSelect() functions. In this case, further information about the fit is added.

Note

For a comprehensive summary of the model, use summary(object); to see all its contents, use str(object).

Author(s)

Thomas Nagler

See Also

BiCopPDF(), BiCopHfunc(), BiCopSim(), BiCopEst(), BiCopSelect(), plot.BiCop(), contour.BiCop()

Examples

## create BiCop object for bivariate t-copula
obj <- BiCop(family = 2, par = 0.4, par2 = 6)
obj

## see the object's content or a summary
str(obj)
summary(obj)

## a selection of functions that can be used with BiCop objects
simdata <- BiCopSim(300, obj)  # simulate data
BiCopPDF(0.5, 0.5, obj) # evaluate density in (0.5,0.5)
plot(obj)  # surface plot of copula density
contour(obj)  # contour plot with standard normal margins
print(obj)  # brief overview of BiCop object
summary(obj)  # comprehensive overview of BiCop object

VineCopula documentation built on Sept. 11, 2024, 5:26 p.m.