ellipCopula {copula} | R Documentation |
Constructs an elliptical copula class object with its corresponding parameter and dimension.
ellipCopula(family, param, dim = 2, dispstr = "ex", df = 5, ...) normalCopula(param, dim = 2, dispstr = "ex") tCopula(param, dim = 2, dispstr = "ex", df = 5)
family |
a character string specifying the family of an elliptical copula. Implemented families are "normal" and "t". |
param |
a numeric vector specifying the parameter values. |
dim |
the dimension of the copula. |
dispstr |
a character string specifying the type of the symmetric positive definite matrix characterizing the elliptical copula. Implemented structures are "ex" for exchangeable, "ar1" for AR(1), "toep" for toeplitz, , and "un" for unstructured. For normal copula, this defines the structure of the correlation matrix. |
df |
a numerical value specifying the degree of freedom for the multivariate t distribution used to construct the t copulas. |
... |
currently nothing. |
An elliptical copula object of class "normalCopula"
or
"tCopula"
.
"ellipCopula"
is a wrapper for "normalCopula"
and
"tCopula"
.
Jun Yan <jyan@stat.uconn.edu>
norm.cop <- normalCopula(c(0.5, 0.6, 0.7), dim = 3, dispstr = "un") t.cop <- tCopula(c(0.5, 0.3), dim = 3, dispstr = "toep", df = 2) ## from the wrapper norm.cop <- ellipCopula("normal", param = c(0.5, 0.6, 0.7), dim = 3, dispstr = "un") ## 3d scatter plot of 1000 random observations ##scatterplot3d(rcopula(norm.cop, 1000)) ##scatterplot3d(rcopula(t.cop, 1000))