view_on_copula {ffp} | R Documentation |
Views on Copulas
Description
Helper to construct constraints on copulas for entropy programming.
Usage
view_on_copula(x, simul, p)
## Default S3 method:
view_on_copula(x, simul, p)
## S3 method for class 'matrix'
view_on_copula(x, simul, p)
## S3 method for class 'xts'
view_on_copula(x, simul, p)
## S3 method for class 'tbl_df'
view_on_copula(x, simul, p)
Arguments
x |
A multivariate copula. |
simul |
A simulated target copula. |
p |
An object of the |
Value
A list
of the view
class.
Examples
set.seed(1)
library(ggplot2)
# Invariants
ret <- diff(log(EuStockMarkets))
u <- apply(ret, 2, stats::pnorm) # assuming normal copula
n <- nrow(u)
#' Prior probability distribution
prior <- rep(1 / n, n)
# Simulated marginals
simul_marg <- bootstrap_scenarios(ret, as_ffp(prior), as.double(n))
# Copulas derived from the simulated margins
simul_cop <- apply(simul_marg, 2, stats::pnorm) # assuming normal copula
views <- view_on_copula(x = u, simul = simul_cop, p = prior)
views
ep <- entropy_pooling(p = prior, Aeq = views$Aeq, beq = views$beq, solver = "nloptr")
autoplot(ep)
[Package ffp version 0.2.2 Index]