simcomposite3COP {copBasic}

Compute the L-comoments of a Four-Value Composited Copula by Simulation

Description

Simulate copula parameters and compute L-comoments and provision for plotting features for a composited copula using four compositing parameters (see composite3COP). The compositing parameters are each independent and uniformly distributed:

\alpha \sim \mathrm{U}[0,1];\ \beta \sim \mathrm{U}[0,1];\ \kappa \sim \mathrm{U}[0,1];\ \gamma \sim \mathrm{U}[0,1]\mbox{.}

L-comoment estimation is provided by the lcomCOP.

Usage

simcomposite3COP(nsim=100, compositor=composite3COP,
                 parents=NULL, ploton=FALSE, points=FALSE,
                 showpar=FALSE, showresults=FALSE, digits=6, ...)

Arguments

nsim

Number of simulations to perform;

compositor

The compositing function that could be either composite1COP, composite2COP, and composite3COP;

parents

A special parameter list (see Note);

ploton

A logical to toggle on intermediate plotting;

points

A logical to actually draw the simulations on the ploton by the points() function in R;

showpar

Print the simulated parameter set with each iteration;

showresults

Print the results (useful if harvest results from a batch operation in R);

digits

The number digits to pass to round if showresults is true; and

...

Additional arguments to pass.

Value

An R matrix of results is returned. Each row represents a single simulation run. The first four columns are the \alpha, \beta, \kappa, and \gamma compositing parameters and are labeled as such. The next two columns are the opposing diagonals, by first row and then second, of the L-comoment correlation. The following two columns are the opposing diagonals, by row and then second, of the L-coskew. The following two columns are the opposing diagonals, by row and then second, of the L-cokurtosis. The L-comoment columns are labeled to reflect the L-comoment matrix: T2.21 means the L-comoment correlation row 2 column 1 and T3.12 mean the L-coskew row 1 column 2. The remaining columns represent the \Theta_n parameters for copula 1, the \Theta_m parameters for copula 2. The columns are labeled Cop1Thetas or Cop2Thetas.

Note

The following descriptions list in detail the parents argument structure and content of the para argument:

cop1

— Function of the first copula;

cop2

— Function of the second copula;

para1gen

— Function to generate random parameters for the first copula; and

para2gen

— Function to generate random parameters for the second copula.

The para argument of this function are passed to the function contained in compositor and are therefore subject to further constraints in items should such constraints exist.

Author(s)

W.H. Asquith

References

Asquith, W.H., 2011, Distributional analysis with L-moment statistics using the R environment for statistical computing: Createspace Independent Publishing Platform, ISBN 978–146350841–8.

See Also

lcomCOP, simcompositeCOP

Examples

## Not run: 
# EXAMPLE 1: Make a single simulation result.
mainpara <- list(cop1=PLACKETTcop, cop2=PLACKETTcop,
                 para1gen=function() { return(c(10^runif(1, min=-5, max=0))) },
                 para2gen=function() { return(c(10^runif(1, min= 0, max=5))) })
v <- simcompositeCOP(nsim=1, parent=mainpara, showresults=TRUE)
print(v)

# EXAMPLE 2: Make 1000 "results" and plot two columns.
mainpara <- list(cop1=PLACKETTcop, cop2=N4212cop,
                 para1gen=function() { return(c(10^runif(1, min=-5, max=5))) },
                 para2gen=function() { return(c(10^runif(1, min= 0, max=2))) })
v <- simcomposite3COP(nsim=100, parent=mainpara); labs <- colnames(v)
plot(v[,5], v[,7],           # open circles are 1 with respect to 2
     xlab=paste(c(labs[5], "and", labs[6]), collapse=" "),
     ylab=paste(c(labs[6], "and", labs[8]), collapse=" "))
points(v[,6], v[,8], pch=16) # black dots are 2 with respect to 1
## End(Not run)