VineCopula: BiCopCompare – R documentation

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BiCopCompare

Shiny app for bivariate copula selection

Description

The function starts a shiny app which visualizes copula data and allows to compare it with overlays of density contours or simulated data from different copula families with fitted parameters. Several specifications for the margins are available.

Usage

BiCopCompare(u1, u2, familyset = NA, rotations = TRUE)

Arguments

`u1, u2`	Data vectors of equal length with values in [0,1].
`familyset`	Vector of bivariate copula families to select from. The vector has to include at least one bivariate copula family that allows for positive and one that allows for negative dependence. If `familyset = NA` (default), selection among all possible families is performed. If a vector of negative numbers is provided, selection among all but `abs(familyset)` families is performed. Coding of bivariate copula families: `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)
`rotations`	If `TRUE`, all rotations of the families in `familyset` are included (or subtracted).

Value

A BiCop() object containing the model selected by the user.

Author(s)

Matthias Killiches, Thomas Nagler

Examples

# load data
data(daxreturns)

# find a suitable copula family for the first two stocks
## Not run: fit <- BiCopCompare(daxreturns[, 1], daxreturns[, 2])

VineCopula

Statistical Inference of Vine Copulas

v2.4.1

GPL (>= 2)

Authors

Thomas Nagler [aut, cre], Ulf Schepsmeier [aut], Jakob Stoeber [aut], Eike Christian Brechmann [aut], Benedikt Graeler [aut], Tobias Erhardt [aut], Carlos Almeida [ctb], Aleksey Min [ctb, ths], Claudia Czado [ctb, ths], Mathias Hofmann [ctb], Matthias Killiches [ctb], Harry Joe [ctb], Thibault Vatter [ctb]

Initial release