ellipCopula {copula} | R Documentation |
Constructs an elliptical copula class object with its corresponding parameters 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, df.fixed = FALSE)
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. |
df |
a numerical value specifying the number of degrees of freedom of the multivariate t distribution used to construct the t copulas. |
df.fixed |
TRUE means that the degrees of freedom will never be
considered as a parameter to be estimated; FALSE means that
df will be estimated if the object is passed as argument to fitCopula . |
... |
currently nothing. |
An elliptical copula object of class "normalCopula"
or
"tCopula"
.
"ellipCopula"
is a wrapper for "normalCopula"
and
"tCopula"
.
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, df.fixed = TRUE) ## 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))