RVinePar2Tau {VineCopula}

Kendall's Tau Values of an R-Vine Copula Model

Description

This function computes the values of Kendall's tau corresponding to the parameters of an R-vine copula model.

Usage

RVinePar2Tau(RVM, check.pars = TRUE)

Arguments

RVM

An RVineMatrix() object.

check.pars

logical; default is TRUE; if FALSE, checks for family/parameter-consistency are omitted (should only be used with care).

Value

Matrix with the same structure as the family and parameter matrices of the RVineMatrix() object RVM where the entries are values of Kendall's tau corresponding to the families and parameters of the R-vine copula model given by RVM.

Author(s)

Jeffrey Dissmann

See Also

RVineMatrix(), BiCopPar2Tau()

Examples

# 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 Kendall's tau values
tau <- RVinePar2Tau(RVM)