Simulate copula parameters and compute L-comoments and provision for plotting features for a composited copula using using two compositing parameters (see composite1COP as well as composite2COP). The compositing parameters are each independent and uniformly distributed:
$$\alpha \sim \mathrm{U}[0,1];\ \beta \sim \mathrm{U}[0,1]\mbox{.}$$
L-comoment estimation is provided by the lcomCOP.
simcompositeCOP(nsim=100, compositor=composite2COP,
parents=NULL, ploton=FALSE, points=FALSE,
showpar=FALSE, showresults=FALSE, digits=6, ...)An R matrix of results is returned. Each row represents a single simulation run. The first two columns are the \(\alpha\) and \(\beta\)
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.
Number of simulations to perform;
The compositing function, could be either composite1COP or composite2COP. Each of these is acceptable because two compositing parameters are used;
A special parameter list (see Note);
A logical to toggle on intermediate plotting;
A logical to actually draw the simulations on the ploton by points() function in R;
Print the simulated parameter set with each iteration;
Print the results (useful if harvest results from a batch operation in R);
The number digits to pass to round if showresults is true; and
Additional arguments to pass.
W.H. Asquith
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.
lcomCOP, simcomposite3COP