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Last data update: 2014.03.03

R: Transform D-Vine to R-Vine Structure

D2RVine

R Documentation

Transform D-Vine to R-Vine Structure

Description

This function transforms a D-vine structure from the package CDVine to the corresponding R-vine structure.

Usage

D2RVine(order, family, par, par2 = rep(0, length(family)))

Arguments

`order`	A d-dimensional vector specifying the order of the nodes in the D-vine.
`family`	A d*(d-1)/2 vector of pair-copula families with values `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”) `14` = rotated Gumbel copula (180 degrees; “survival Gumbel”) `16` = rotated Joe copula (180 degrees; “survival Joe”) `17` = rotated BB1 copula (180 degrees; “survival BB1”) `18` = rotated BB6 copula (180 degrees; “survival BB6”) `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`	A d*(d-1)/2 vector of pair-copula parameters.
`par2`	A d*(d-1)/2 vector of second pair-copula parameters (optional; default: `par2 = rep(0,length(family))`), necessary for the t-, BB1, BB6, BB7, BB8, Tawn type 1 and type 2 copulas.

Value

An RVineMatrix object.

Author(s)

Ulf Schepsmeier

Examples

# set up D-vine copula model with mixed pair-copulas
d <- 4
dd <- d*(d-1)/2
order <- 1:d
family <- c(1, 2, 3, 4, 7, 3)
par <- c(0.5, 0.4, 2, 1.5, 1.2, 1.5)
par2 <- c(0, 5, 0, 0, 2, 0)

# transform to R-vine matrix notation
RVM <- D2RVine(order, family, par, par2)

# load package CDVine for comparison
library(CDVine)

# simulate a sample of size 500 from a 4-dimensional D-vine
type <- 2  # D-vine
simdata <- CDVineSim(500, family, par, par2, type)

# determine log-likelihood
out <- CDVineLogLik(simdata, family, par, par2, type)
out$loglik

# check that log-likelihood stays the same
out2 <- RVineLogLik(simdata, RVM)
out2$loglik