copula (version 0.999-15)

rotCopula: Construction and Class of "Rotated" Copulas

Description

Constructs a rotated copula from an initial copula and a vector of logicals indicating which dimension to “flip”.

Usage

rotCopula(copula, flip = TRUE)

Arguments

copula

an object of class "Copula".

flip

logical vector (of length 1 or dim(copula)) indicating which dimension should be “flipped”; by default, all the components are flipped, implying that the rotated copula is the “survival copula”.

Value

A rotated copula object of class "rotCopula".

Slots

of a "rotCopula" object

See Also

fitCopula for fitting such copulas to data, gofCopula for goodness-of-fit tests for such copulas.

Examples

## Two-dimensional examples: First the Clayton(3) survival copula:
survC <- rotCopula(claytonCopula(3)) # default: flip = 'all TRUE'
contourplot2(survC, dCopula)

## Now, a "rotated" Clayton copula:
r10C  <- rotCopula(claytonCopula(3), flip = c(TRUE, FALSE))

contourplot2(r10C, dCopula, nlevels = 20, main = "dCopula(<rotCopula>)")
contourplot2(r10C, pCopula, nlevels = 20, main = "pCopula(<rotCopula>)")
rho(r10C)
tau(r10C) # -0.6

n <- 1000
u <- rCopula(n, r10C)
rho.n <- cor(u[,1], u[,2], method = "spearman")
tau.n <- cor(u[,1], u[,2], method = "kendall")

## "Calibration"
rc. <- rotCopula(claytonCopula(), flip = c(TRUE, FALSE))
iRho(rc., rho.n)
iTau(rc., tau.n)

## Fitting
fitCopula(rc., data = pobs(u), method = "irho")
fitCopula(rc., data = pobs(u), method = "itau")
fitCopula(rc., data = pobs(u), method = "mpl")

## Goodness-of-fit testing -- the first, parametric bootstrap, is *really* slow
## Not run: gofCopula(rc., x = u)
gofCopula(rc., x = u, simulation = "mult")

## A four-dimensional example: a "rotated" Frank copula
rf <- rotCopula(frankCopula(10, dim = 4),
                flip = c(TRUE, FALSE, TRUE, FALSE))

n <- 1000
u <- rCopula(n, rf)
splom2(u)

pCopula(c(0.6,0.7,0.6,0.8), rf)
C.n(cbind(0.6,0.7,0.6,0.8),  u)

## Fitting
(rf. <- rotCopula(frankCopula(dim=4),
                  flip = c(TRUE, FALSE, TRUE, FALSE)))
## fitCopula(rf., data = pobs(u), method = "irho")
## FIXME above: not related to rotCopula but frankCopula
fitCopula(rf., data = pobs(u), method = "itau")
fitCopula(rf., data = pobs(u), method = "mpl")

## Goodness-of-fit testing (first ("PB") is really slow, see above):
## Not run: gofCopula(rf., x = u)
gofCopula(rf., x = u, simulation = "mult") # takes 3.7 sec [lynne, 2015]