copula: fixedPar – R documentation

Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!

fixedPar

Fix a Subset of a Copula Parameter Vector

Description

It is sometimes useful to keep fixed some components of a copula parameter vector whereas the others are “free” and will be estimated, e.g., by fitCopula.

The first two functions set or modify the “fixedness”, whereas isFree(), isFreeP() and nParam() are utilities enquiring about the “fixedness” of the parameters (of a copula).

Usage

fixParam(param, fixed = TRUE)
fixedParam(copula) <- value

isFreeP(param)
## S4 method for signature 'copula'
isFree(copula)
## and specific '*Copula' methods
## S4 method for signature 'copula'
nParam(copula, freeOnly = FALSE)
## and specific '*Copula' methods

Arguments

`param`	numeric parameter vector
`fixed, value`	logical vector of the same length as `param` indicating for each component `param[j]` if it is (going to be) fixed or not.
`copula`	a `"copula"` object.
`freeOnly`	logical (scalar) indicating if only free parameters should be counted or all.

Value

fixParam(param) returns a numeric vector with attribute "fixed"(a logical, either TRUE or vector of the same length as param) to indicate which components of param are to be held fixed or not.

fixedParam<-, a generic function, returns a "copula" object with a partly fixed parameter (slot), i.e., corresponding to fixParam() above.

Examples

nc1 <- normalCopula(dim = 3, fixParam(c(.6,.3,.2), c(TRUE, FALSE,FALSE)),
                    dispstr = "un")
nc1
nc13 <- nc12 <- nc1
fixedParam(nc12) <- c(TRUE, TRUE, FALSE) ; nc12
fixedParam(nc13) <- c(TRUE, FALSE, TRUE) ; nc13
set.seed(17); x <- rCopula(100, nc1)
summary(f.13 <- fitCopula(nc13, x, method = "ml"))
f.13@copula  # 'rho.2' is estimated; the others kept fixed

## Setting to 'FALSE' (removes the "fixed" parts completely):
nc0 <- nc13; fixedParam(nc0) <- FALSE
nc0
stopifnot(is.null(attributes(nc0@parameters)))

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