rCopula

rCopula,numeric,ConvexCombCopula-method

rCopula,numeric,Cort-method

rCopula,numeric,CortForest-method

rCopula,numeric,cbCopula-method

rCopula,numeric,cbkmCopula-method

copula

other parameter to be passed to methods for this generic.

Random number generation following the given copula. This function performs the simulation of random vectors following the copula.

Provides S4 classes and methods to fit several copula models: The classic empirical checkerboard copula and the empirical checkerboard copula with known margins, see Cuberos, Masiello and Maume-Deschamps (2019) <doi:10.1080/03610926.2019.1586936> are proposed. These two models allow to fit copulas in high dimension with a small number of observations, and they are always proper copulas. Some flexibility is added via a possibility to differentiate the checkerboard parameter by dimension. The last model consist of the implementation of the Copula Recursive Tree algorithm proposed by Laverny, Maume-Deschamps, Masiello and Rulli<c3><a8>re (2020) <arXiv:2005.02912>, including the localised dimension reduction, which fits a copula by recursive splitting of the copula domain. We also provide an efficient way of mixing copulas, allowing to bag the algorithm into a forest, and a generic way of measuring d-dimensional boxes with a copula.

Oskar Laverny

cort

Some Empiric and Nonparametric Copula Models

rCopula function

<ul>
<li><code>rCopula,numeric,ConvexCombCopula-method</code>: Method for the cbCopula</li>
<li><code>rCopula,numeric,Cort-method</code>: Method for the class Cort</li>
<li><code>rCopula,numeric,CortForest-method</code>: Method for the class CortForest</li>
<li><code>rCopula,numeric,cbCopula-method</code>: Method for the cbCopula</li>
<li><code>rCopula,numeric,cbkmCopula-method</code>: Method for the cbCopula</li>
</ul>

rCopula: Copula random generation

Description

Usage

Arguments

Value

Functions

Examples