simcomposite3COP: 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, ...)

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.

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.

Author

W.H. Asquith

References