pencopulaCond-package {pencopulaCond} | R Documentation |
Estimating Non-Simplified Vine Copulas Using Penalized Splines
Description
Estimating Non-Simplified Vine Copulas Using Penalized Splines
Details
Package: | pencopulaCond |
Type: | Package |
Version: | 0.2 |
Date: | 2017-05-31 |
License: GPL (>= 2) LazyLoad: | yes |
Author(s)
Christian Schellhase <cschellhase@wiwi.uni-bielefeld.de>
References
Estimating Non-Simplified Vine Copulas Using Penalized Splines, Schellhase, C. and Spanhel, F. (2017), Statistics and Computing.
Examples
#Simulating from a three-dimensional frank copula with
#kendell's tau equal to 0.25, sample size N.set=100.
#Please enlarge N.set for further studies.
#require(copula)
#N.set<-100
#cop <- archmCopula(family = "frank", dim = 3, param =2.39)
#parMarg<-list(list(min=0,max=1),list(min=0,max=1),list(min=0,max=1))
#distr.cop <- mvdc(cop, margins=rep("unif",3), paramMargins = parMarg,marginsIdentical=TRUE)
#c.X <- rMvdc(mvdc=distr.cop, n=N.set)
#Y <- punif(c.X)
#vine.copula<-vine(Y,d=2,d2=2,D=4,D3=4,q=1,m=2,cores=1,lambda=c(10000,100))
[Package pencopulaCond version 0.2 Index]