Blomqvist's Beta Values of an R-Vine Copula Model
This function computes the values of Blomqvist's beta corresponding to the parameters of an R-vine copula model.
RVinePar2Beta(RVM, check.pars = TRUE)
RVM |
An |
check.pars |
logical; default is |
Matrix with the same structure as the family and parameter matrices
of the RVineMatrix() object RVM where the entries are
values of Blomqvist's beta corresponding to the families and parameters of
the R-vine copula model given by RVM.
Ulf Schepsmeier
# define 5-dimensional R-vine tree structure matrix
Matrix <- c(5, 2, 3, 1, 4,
0, 2, 3, 4, 1,
0, 0, 3, 4, 1,
0, 0, 0, 4, 1,
0, 0, 0, 0, 1)
Matrix <- matrix(Matrix, 5, 5)
# define R-vine pair-copula family matrix
family <- c(0, 1, 3, 4, 4,
0, 0, 3, 4, 1,
0, 0, 0, 4, 1,
0, 0, 0, 0, 3,
0, 0, 0, 0, 0)
family <- matrix(family, 5, 5)
# define R-vine pair-copula parameter matrix
par <- c(0, 0.2, 0.9, 1.5, 3.9,
0, 0, 1.1, 1.6, 0.9,
0, 0, 0, 1.9, 0.5,
0, 0, 0, 0, 4.8,
0, 0, 0, 0, 0)
par <- matrix(par, 5, 5)
# define second R-vine pair-copula parameter matrix
par2 <- matrix(0, 5, 5)
# define RVineMatrix object
RVM <- RVineMatrix(Matrix = Matrix, family = family,
par = par, par2 = par2,
names = c("V1", "V2", "V3", "V4", "V5"))
# compute the Blomqvist's beta values
BlomBeta <- RVinePar2Beta(RVM)Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.