ellipCopula {copula}R Documentation

Construction of elliptical copula class object

Description

Constructs an elliptical copula class object with its corresponding parameters and dimension.

Usage

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)

Arguments

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.

Value

An elliptical copula object of class "normalCopula" or "tCopula".

Note

"ellipCopula" is a wrapper for "normalCopula" and "tCopula".

See Also

archmCopula, fitCopula.

Examples

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))

[Package copula version 0.8-3 Index]