copula (version 0.5-8)

ellipCopula: Construction of Elliptical Copula Class Object

Description

Constructs an elliptical copula class object with its corresponding parameter and dimension.

Usage

ellipCopula(family, param, dim = 2, dispstr = "ex", df = 5, ...)
normalCopula(param, dim = 2, dispstr = "ex")
tCopula(param, dim = 2, dispstr = "ex", df = 5)

Arguments

family

a character string specifying the family of an elliptical copula. Implemented families are "normal" and "t".

param

a numeric vector specifying the parameter values.

dim

the dimension of the copula.

dispstr

a character string specifying the type of the symmetric positive definite matrix characterizing the elliptical copula. Implemented structures are "ex" for exchangeable, "ar1" for AR(1), "toep" for toeplitz, , and "un" for unstructured. For nor

df

a numerical value specifying the degree of freedom for the multivariate t distribution used to construct the t copulas.

...

currently nothing.

Value

• An elliptical copula object of class "normalCopula" or "tCopula".

See Also

archmCopula

Examples

norm.cop <- normalCopula(c(0.5, 0.6, 0.7), dim = 3, dispstr = "un")
t.cop <- tCopula(c(0.5, 0.3), dim = 3, dispstr = "toep", df = 2)
## from the wrapper
norm.cop <- ellipCopula("normal", param = c(0.5, 0.6, 0.7),
                        dim = 3, dispstr = "un")
## 3d scatter plot of 1000 random observations
##scatterplot3d(rcopula(norm.cop, 1000))
##scatterplot3d(rcopula(t.cop, 1000))