copula: setTheta – R documentation

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

setTheta

Specify the Parameter(s) of a Copula

Description

Set or change the parameter theta (theta) of a copula. The name ‘theta’ has been from its use in (nested) Archimedean copulas, where x is of class "acopula" or "outer_nacopula". This is used for constructing copula models with specified parameter, as, for example, in onacopula(), or also gofCopula.

Usage

setTheta(x, value, na.ok = TRUE, noCheck = FALSE, freeOnly = TRUE, ...)

## S4 method for signature 'acopula,ANY'
setTheta(x, value, na.ok = TRUE, noCheck = FALSE, freeOnly = TRUE, ...)
## S4 method for signature 'copula,ANY'
setTheta(x, value, na.ok = TRUE, noCheck = FALSE, freeOnly = TRUE, ...)
## S4 method for signature 'xcopula,ANY'
setTheta(x, value, na.ok = TRUE, noCheck = FALSE, freeOnly = TRUE, ...)
## S4 method for signature 'outer_nacopula,numeric'
setTheta(x, value, na.ok = TRUE, noCheck = FALSE, freeOnly = TRUE, ...)
## S4 method for signature 'khoudrajiCopula,ANY'
setTheta(x, value, na.ok = TRUE, noCheck = FALSE, freeOnly = TRUE, ...)

## S4 method for signature 'mixCopula,ANY'
setTheta(x, value, na.ok = TRUE, noCheck = FALSE, freeOnly = TRUE,
         treat.negative = c("set.0", "warn.set0", "stop"), ...)

Arguments

`x`	an R object of class `Copula`, i.e., any copula from package copula.
`value`	parameter value or vector, `numeric` or `NA` (when `na.ok` is true), corresponding to the “free” parameters.
`...`	further arguments for methods.
`na.ok`	logical indicating if `NA` values are ok for `theta`.
`noCheck`	logical indicating if parameter constraint checks should be skipped.
`freeOnly`	logical indicating that only non-fixed aka “free” parameters are to be set. If true as by default, `setTheta()` modifies only the free parameters of the copula; see also `fixParam`.
`treat.negative`	a `character` string indicating how negative mixture weights should be handled. If not `"stop"` which produces an error via `stop`, negative mixture weights are replaced by zero.

Value

an R object of the same class as x, with the main parameter (vector) (often called theta) set to value.

Examples

myC <- setTheta(copClayton, 0.5)
myC
## Frank copula with Kendall's tau = 0.8 :
(myF.8 <- setTheta(copFrank, iTau(copFrank, tau = 0.8)))

# negative theta is ok for dim = 2 :
myF <- setTheta(copFrank, -2.5, noCheck=TRUE)
myF@tau(myF@theta) # -0.262

myT <- setTheta(tCopula(df.fixed=TRUE), 0.7)
stopifnot(all.equal(myT, tCopula(0.7, df.fixed=TRUE),
                    check.environment=FALSE, tolerance=0))

(myT2 <- setTheta(tCopula(dim=3, df.fixed=TRUE), 0.7))
## Setting 'rho' and 'df'  --- for default df.fixed=FALSE :
(myT3 <- setTheta(tCopula(dim=3), c(0.7, 4)))

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