cbkmCopula-Class {cort}R Documentation

Checkerboards with known margins

Description

cbkmCopula contructor

Usage

cbkmCopula(
  x,
  m = rep(nrow(x), ncol(x)),
  pseudo = FALSE,
  margins_numbers = NULL,
  known_cop = NULL
)

Arguments

x

the data to be used

m

checkerboard parameter

pseudo

Boolean, defaults to FALSE. Set to TRUE if you are already providing pseudo-data into the x argument.

margins_numbers

numeric integers which determines the margins for the known copula.

known_cop

Copula a copula object representing the known copula for the selected margins.

Details

Given some empirical data, and given some known copula estimation on a sub-vector of this data, the checkerboard with known margins construction consist in a conditional pattern where a checkerboard copula is fitted (similar the the cbCopula algorithm), but conditionally on some known margins.

See the corresponding vignette for more details.

Value

An instance of the cbkmCopula S4 class. The object represent the fitted copula and can be used through several methods to query classical (r/d/p/v)Copula methods, etc.

Examples

dataset <- apply(LifeCycleSavings,2,rank)/(nrow(LifeCycleSavings)+1)
known_copula <- cbCopula(dataset[,2:3],m=10)
(cop <- cbkmCopula(x = dataset,
                  m = 5,
                  pseudo = TRUE,
                  margins_numbers = c(2,3),
                  known_cop = known_copula))

[Package cort version 0.3.2 Index]