CopulaObj-class {cascsim}

An S4 class to represent a copula object to model the correlation.

Description

An S4 class to represent a copula object to model the correlation.

Slots

type

The type of the copula object.

para

A numeric vector that contains copula parameter(s).

marginal

A list of Distribution objects.

dispstr

The format of symmetric positive definite matrix used by elliptical copula (Normal Copula, t Copula). The default is "un" for unstructured. Other choices include "ex" for exchangeable, "ar1" for AR(1), and "toep" for Toeplitz (toeplitz).

df

The number of degrees of freedom used in t Copula.

observation

A matrix that contains the experience data for copula fitting.

fitmethod

The method of copula fitting. Default is "mpl":maximum pseudo-likelihood estimator. Others include "ml": maximum likelihood assuming it is the true distribution; "itau": inversion of Kendall’s tau estimator; "irho": inversion of Spearman’s rho estimator.

fittest

Whether to run goodness of fit test for copula fitting. Goodness of fit test could take a long time to finish.

fitsucc

Whether a copula fitting is successful.

coutput

Goodness of fit results.

info

A character string that contains additional information of the copula to identify line/type/frequency/time lag/severity.