simcomposite3COP {copBasic} | R Documentation |
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 |
parents |
A special parameter |
ploton |
A logical to toggle on intermediate plotting; |
points |
A logical to actually draw the simulations on the |
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 |
... |
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
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)