copula: RSpobs – R documentation

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RSpobs

Pseudo-Observations of Radial and Uniform Part of Elliptical and Archimedean Copulas

Description

Given a matrix of iid multivariate data from a meta-elliptical or meta-Archimedean model, RSpobs() computes pseudo-observations of the radial part R and the vector S which follows a uniform distribution on the unit sphere (for elliptical copulas) or the unit simplex (for Archimedean copulas). These quantities can be used for (graphical) goodness-of-fit tests, for example.

Usage

RSpobs(x, do.pobs = TRUE, method = c("ellip", "archm"), ...)

Arguments

`x`	an (n, d)-`matrix` of data; if `do.pobs=FALSE`, the rows of `x` are assumed to lie in the d-dimensional unit hypercube (if they do not, this leads to an error).
`do.pobs`	`logical` indicating whether `pobs()` is applied to `x` for transforming the data to the d-dimensional unit hypercube.
`method`	`character` string indicating the assumed underlying model, being meta-elliptical if `method="ellip"` (in which case `S` should be approximately uniform on the d-dimensional unit sphere) or meta-Archimedean if `method="archm"` (in which case `S` should be approximately uniform on the d-dimensional unit simplex).
`...`	additional arguments passed to the implemented methods. These can be `method="ellip"` `qQg()` (the quantile `function` of the (assumed) distribution function G[g] as given in Genest, Hofert, G. Nešlehová (2014)); if provided, `qQg()` is used in the transformation for obtaining pseudo-observations of R and S (see the code for more details). `method="archm"` `iPsi()` (the assumed underlying generator inverse); if provided, `iPsi()` is used in the transformation for obtaining pseudo-observations of R and S (see the code for more details).

Details

The construction of the pseudo-obersvations of the radial part and the uniform distribution on the unit sphere/simplex is described in Genest, Hofert, G. Nešlehová (2014).

Value

A list with components R (an n-vector containing the pseudo-observations of the radial part) and S (an (n, d)-matrix containing the pseudo-observations of the uniform distribution (on the unit sphere/simplex)).

References

Genest, C., Hofert, M., G. Nešlehová, J., (2014). Is the dependence Archimedean, elliptical, or what? To be submitted.

Examples

set.seed(100)
n <- 250 # sample size
d <- 5 # dimension
nu <- 3 # degrees of freedom

## Build a mean vector and a dispersion matrix,
## and generate multivariate t_nu data:
mu <- rev(seq_len(d)) # d, d-1, .., 1
L <- diag(d) # identity in dim d
L[lower.tri(L)] <- 1:(d*(d-1)/2)/d # Cholesky factor (diagonal > 0)
Sigma <- crossprod(L) # pos.-def. dispersion matrix (*not* covariance of X)
X <- rep(mu, each=n) + mvtnorm::rmvt(n, sigma=Sigma, df=nu) # multiv. t_nu data
## note: this is *wrong*: mvtnorm::rmvt(n, mean=mu, sigma=Sigma, df=nu)

## compute pseudo-observations of the radial part and uniform distribution
## once for 1a), once for 1b) below
RS.t    <- RSpobs(X, method="ellip", qQg=function(p) qt(p, df=nu)) # 'correct'
RS.norm <- RSpobs(X, method="ellip", qQg=qnorm) # for testing 'wrong' distribution
stopifnot(length(RS.norm$R) == n, length(RS.t$R) == n,
          dim(RS.norm$S) == c(n,d), dim(RS.t$S) == c(n,d))

## 1) Graphically testing the radial part

## 1a) Q-Q plot of R against the correct quantiles
qqplot2(RS.t$R, qF=function(p) sqrt(d*qf(p, df1=d, df2=nu)),
        main.args=list(text= substitute(bold(italic(F[list(d.,nu.)](r^2/d.))~~"Q-Q Plot"),
                                        list(d.=d, nu.=nu)),
		       side=3, cex=1.3, line=1.1, xpd=NA))

## 1b) Q-Q plot of R against the quantiles of F_R for a multivariate normal
##     distribution
qqplot2(RS.norm$R, qF=function(p) sqrt(qchisq(p, df=d)),
        main.args=list(text= substitute(bold(italic(chi[D_]) ~~ "Q-Q Plot"), list(D_=d)),
               side=3, cex=1.3, line=1.1, xpd=NA))

## 2) Graphically testing the angular distribution

## auxiliary function
qqp <- function(k, Bmat) {
    d <- ncol(Bmat) + 1
    qqplot2(Bmat[,k],
            qF = function(p) qbeta(p, shape1=k/2, shape2=(d-k)/2),
            main.args=list(text= substitute(plain("Beta")(s1,s2) ~~ bold("Q-Q Plot"),
                                            list(s1 = k/2, s2 = (d-k)/2)),
  	                   side=3, cex=1.3, line=1.1, xpd=NA))
}

## 2a) Q-Q plot of the 'correct' angular distribution
##     (Bmat[,k] should follow a Beta(k/2, (d-k)/2) distribution)
Bmat.t <- gofBTstat(RS.t$S)
qqp(1, Bmat=Bmat.t) # k=1
qqp(3, Bmat=Bmat.t) # k=3

## 2b) Q-Q plot of the 'wrong' angular distribution
Bmat.norm <- gofBTstat(RS.norm$S)
qqp(1, Bmat=Bmat.norm) # k=1
qqp(3, Bmat=Bmat.norm) # k=3

## 3) Graphically check independence between radial part and B_1 and B_3

## 'correct' distributions (multivariate t)
plot(pobs(cbind(RS.t$R, Bmat.t[,1])), # k = 1
          xlab=quote(italic(R)), ylab=quote(italic(B)[1]),
          main=quote(bold("Rank plot between"~~italic(R)~~"and"~~italic(B)[1])))
plot(pobs(cbind(RS.t$R, Bmat.t[,3])), # k = 3
	  xlab=quote(italic(R)), ylab=quote(italic(B)[3]),
          main=quote(bold("Rank plot between"~~italic(R)~~"and"~~italic(B)[3])))

## 'wrong' distributions (multivariate normal)
plot(pobs(cbind(RS.norm$R, Bmat.norm[,1])), # k = 1
          xlab=quote(italic(R)), ylab=quote(italic(B)[1]),
          main=quote(bold("Rank plot between"~~italic(R)~~"and"~~italic(B)[1])))
plot(pobs(cbind(RS.norm$R, Bmat.norm[,3])), # k = 3
	  xlab=quote(italic(R)), ylab=quote(italic(B)[3]),
          main=quote(bold("Rank plot between"~~italic(R)~~"and"~~italic(B)[3])))

copula

Multivariate Dependence with Copulas

v1.0-1

GPL (>= 3) | file LICENCE

Authors

Marius Hofert [aut] (<https://orcid.org/0000-0001-8009-4665>), Ivan Kojadinovic [aut] (<https://orcid.org/0000-0002-2903-1543>), Martin Maechler [aut, cre] (<https://orcid.org/0000-0002-8685-9910>), Jun Yan [aut] (<https://orcid.org/0000-0003-4401-7296>), Johanna G. Nešlehová [ctb] (evTestK(), <https://orcid.org/0000-0001-9634-4796>), Rebecca Morger [ctb] (fitCopula.ml(): code for free mixCopula weight parameters)

Initial release

2020-12-07