[Vinecopula-commits] r30 - / pkg/R pkg/man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Fr Okt 11 15:35:50 CEST 2013
Author: ulf
Date: 2013-10-11 15:35:49 +0200 (Fri, 11 Oct 2013)
New Revision: 30
Added:
pkg.pdf
Modified:
pkg/R/BiCopName.r
pkg/man/BiCopDeriv.Rd
pkg/man/BiCopDeriv2.Rd
pkg/man/BiCopEst.Rd
pkg/man/BiCopHfunc.Rd
pkg/man/BiCopHfuncDeriv.Rd
pkg/man/BiCopHfuncDeriv2.Rd
pkg/man/BiCopMetaContour.Rd
pkg/man/BiCopName.Rd
pkg/man/BiCopPDF.Rd
pkg/man/BiCopPar2Beta.Rd
pkg/man/BiCopPar2TailDep.Rd
pkg/man/BiCopPar2Tau.Rd
pkg/man/BiCopSelect.Rd
pkg/man/BiCopSim.Rd
pkg/man/BiCopVuongClarke.Rd
pkg/man/C2RVine.Rd
pkg/man/D2RVine.Rd
pkg/man/RVineCopSelect.Rd
pkg/man/RVineGofTest.Rd
pkg/man/RVineGrad.Rd
pkg/man/RVineHessian.Rd
pkg/man/RVineMLE.Rd
pkg/man/RVineMatrix.Rd
pkg/man/RVinePIT.Rd
pkg/man/VineCopula-package.Rd
Log:
Alle helpfiles erneuert bzgl Tawn.
@Eike: Ich habe auch noch eine paar Referenzen auf den neusten Stand gebracht, bin aber nicht alle durchgegangen. Ev. siehst du da noch was. Ferner w?\195?\188rde ich dich bitten dir die Formeln f?\195?\188r tau und die tail dependence anzuschauen. Danke.
Modified: pkg/R/BiCopName.r
===================================================================
--- pkg/R/BiCopName.r 2013-10-11 07:46:49 UTC (rev 29)
+++ pkg/R/BiCopName.r 2013-10-11 13:35:49 UTC (rev 30)
@@ -92,14 +92,14 @@
else if(family==51) fam="Rotated 1-parametric asymmetric 180 degree"
else if(family==61) fam="Rotated 1-parametric asymmetric 90 degree"
else if(family==71) fam="Rotated 1-parametric asymmetric 270 degree"
- else if(family==104) fam="Tawn"
- else if(family==114) fam="Rotated Tawn 180 degrees"
- else if(family==124) fam="Rotated Tawn 90 degrees"
- else if(family==134) fam="Rotated Tawn 270 degrees"
- else if(family==204) fam="Tawn2"
- else if(family==214) fam="Rotated Tawn2 180 degrees"
- else if(family==224) fam="Rotated Tawn2 90 degrees"
- else if(family==234) fam="Rotated Tawn2 270 degrees"
+ else if(family==104) fam="Tawn type 1"
+ else if(family==114) fam="Rotated Tawn type 1 180 degrees"
+ else if(family==124) fam="Rotated Tawn type 1 90 degrees"
+ else if(family==134) fam="Rotated Tawn type 1 270 degrees"
+ else if(family==204) fam="Tawn type 2"
+ else if(family==214) fam="Rotated Tawn type 2 180 degrees"
+ else if(family==224) fam="Rotated Tawn type 2 90 degrees"
+ else if(family==234) fam="Rotated Tawn type 2 270 degrees"
else stop("Family not implemented.")
}
}
@@ -141,14 +141,14 @@
else if(family=="1-par AS180" || family=="Rotated 1-parametric asymmetric 180 degree") fam=51
else if(family=="1-par AS90" || family=="Rotated 1-parametric asymmetric 90 degree") fam=61
else if(family=="1-par AS270" || family=="Rotated 1-parametric asymmetric 270 degree") fam=71
- else if(family=="Tawn") fam=104
- else if(family=="Tawn180" || family=="Rotated Tawn 180 degrees") fam=114
- else if(family=="Tawn90" || family=="Rotated Tawn 90 degrees") fam=124
- else if(family=="Tawn270" || family=="Rotated Tawn 270 degrees") fam=134
- else if(family=="Tawn2") fam=204
- else if(family=="Tawn2_180" || family=="Rotated Tawn2 180 degrees") fam=214
- else if(family=="Tawn2_90" || family=="Rotated Tawn2 90 degrees") fam=224
- else if(family=="Tawn2_270" || family=="Rotated Tawn2 270 degrees") fam=234
+ else if(family=="Tawn" || family=="Tawn type 1") fam=104
+ else if(family=="Tawn180" || family=="Rotated Tawn type 1 180 degrees") fam=114
+ else if(family=="Tawn90" || family=="Rotated Tawn type 1 90 degrees") fam=124
+ else if(family=="Tawn270" || family=="Rotated Tawn type 1 270 degrees") fam=134
+ else if(family=="Tawn2" || family=="Tawn type 2") fam=204
+ else if(family=="Tawn2_180" || family=="Rotated Tawn type 2 180 degrees") fam=214
+ else if(family=="Tawn2_90" || family=="Rotated Tawn type 2 90 degrees") fam=224
+ else if(family=="Tawn2_270" || family=="Rotated Tawn type 2 270 degrees") fam=234
else stop("Family not implemented.")
}
Modified: pkg/man/BiCopDeriv.Rd
===================================================================
--- pkg/man/BiCopDeriv.Rd 2013-10-11 07:46:49 UTC (rev 29)
+++ pkg/man/BiCopDeriv.Rd 2013-10-11 13:35:49 UTC (rev 30)
@@ -52,8 +52,8 @@
\references{
Schepsmeier, U. and J. Stoeber (2012).
Derivatives and Fisher information of bivariate copulas.
-Submitted for publication.
-\url{http://mediatum.ub.tum.de/node?id=1106541}.
+Statistical Papers.
+\url{http://link.springer.com/article/10.1007/s00362-013-0498-x}.
}
\seealso{\code{\link{RVineGrad}}, \code{\link{RVineHessian}}, \code{\link{BiCopDeriv2}}, \code{\link{BiCopHfuncDeriv}}}
Modified: pkg/man/BiCopDeriv2.Rd
===================================================================
--- pkg/man/BiCopDeriv2.Rd 2013-10-11 07:46:49 UTC (rev 29)
+++ pkg/man/BiCopDeriv2.Rd 2013-10-11 13:35:49 UTC (rev 30)
@@ -53,8 +53,8 @@
\references{
Schepsmeier, U. and J. Stoeber (2012).
Derivatives and Fisher information of bivariate copulas.
-Submitted for publication.
-\url{http://mediatum.ub.tum.de/node?id=1106541}.
+Statistical Papers.
+\url{http://link.springer.com/article/10.1007/s00362-013-0498-x}.
}
\author{Ulf Schepsmeier, Jakob Stoeber}
Modified: pkg/man/BiCopEst.Rd
===================================================================
--- pkg/man/BiCopEst.Rd 2013-10-11 07:46:49 UTC (rev 29)
+++ pkg/man/BiCopEst.Rd 2013-10-11 13:35:49 UTC (rev 30)
@@ -47,7 +47,15 @@
\code{37} = rotated BB1 copula (270 degrees) \cr
\code{38} = rotated BB6 copula (270 degrees) \cr
\code{39} = rotated BB7 copula (270 degrees) \cr
- \code{40} = rotated BB8 copula (270 degrees)
+ \code{40} = rotated BB8 copula (270 degrees) \cr
+ \code{104} = Tawn type 1 copula \cr
+ \code{114} = rotated Tawn type 1 copula (180 degrees) \cr
+ \code{124} = rotated Tawn type 1 copula (90 degrees) \cr
+ \code{134} = rotated Tawn type 1 copula (270 degrees) \cr
+ \code{204} = Tawn type 2 copula \cr
+ \code{214} = rotated Tawn type 2 copula (180 degrees) \cr
+ \code{224} = rotated Tawn type 2 copula (90 degrees) \cr
+ \code{234} = rotated Tawn type 2 copula (270 degrees) \cr
}
\item{method}{Character indicating the estimation method:
either maximum likelihood estimation (\code{method = "mle"}; default) or inversion of Kendall's tau (\code{method = "itau"}).\cr
Modified: pkg/man/BiCopHfunc.Rd
===================================================================
--- pkg/man/BiCopHfunc.Rd 2013-10-11 07:46:49 UTC (rev 29)
+++ pkg/man/BiCopHfunc.Rd 2013-10-11 13:35:49 UTC (rev 30)
@@ -45,10 +45,18 @@
\code{37} = rotated BB1 copula (270 degrees) \cr
\code{38} = rotated BB6 copula (270 degrees) \cr
\code{39} = rotated BB7 copula (270 degrees) \cr
- \code{40} = rotated BB8 copula (270 degrees)
+ \code{40} = rotated BB8 copula (270 degrees) \cr
+ \code{104} = Tawn type 1 copula \cr
+ \code{114} = rotated Tawn type 1 copula (180 degrees) \cr
+ \code{124} = rotated Tawn type 1 copula (90 degrees) \cr
+ \code{134} = rotated Tawn type 1 copula (270 degrees) \cr
+ \code{204} = Tawn type 2 copula \cr
+ \code{214} = rotated Tawn type 2 copula (180 degrees) \cr
+ \code{224} = rotated Tawn type 2 copula (90 degrees) \cr
+ \code{234} = rotated Tawn type 2 copula (270 degrees) \cr
}
\item{par}{Copula parameter.}
- \item{par2}{Second parameter for bivariate copulas with two parameters (t, BB1, BB6, BB7, BB8; default: \code{par2 = 0}).}
+ \item{par2}{Second parameter for bivariate copulas with two parameters (t, BB1, BB6, BB7, BB8, Tawn type 1 and type 2; default: \code{par2 = 0}).}
}
\details{
Modified: pkg/man/BiCopHfuncDeriv.Rd
===================================================================
--- pkg/man/BiCopHfuncDeriv.Rd 2013-10-11 07:46:49 UTC (rev 29)
+++ pkg/man/BiCopHfuncDeriv.Rd 2013-10-11 13:35:49 UTC (rev 30)
@@ -47,8 +47,8 @@
\references{
Schepsmeier, U. and J. Stoeber (2012).
Derivatives and Fisher information of bivariate copulas.
-Submitted for publication.
-\url{http://mediatum.ub.tum.de/node?id=1106541}.
+Statistical Papers.
+\url{http://link.springer.com/article/10.1007/s00362-013-0498-x}.
}
\author{Ulf Schepsmeier}
Modified: pkg/man/BiCopHfuncDeriv2.Rd
===================================================================
--- pkg/man/BiCopHfuncDeriv2.Rd 2013-10-11 07:46:49 UTC (rev 29)
+++ pkg/man/BiCopHfuncDeriv2.Rd 2013-10-11 13:35:49 UTC (rev 30)
@@ -50,8 +50,8 @@
\references{
Schepsmeier, U. and J. Stoeber (2012).
Derivatives and Fisher information of bivariate copulas.
-Submitted for publication.
-\url{http://mediatum.ub.tum.de/node?id=1106541}.
+Statistical Papers.
+\url{http://link.springer.com/article/10.1007/s00362-013-0498-x}.
}
\author{Ulf Schepsmeier, Jakob Stoeber}
Modified: pkg/man/BiCopMetaContour.Rd
===================================================================
--- pkg/man/BiCopMetaContour.Rd 2013-10-11 07:46:49 UTC (rev 29)
+++ pkg/man/BiCopMetaContour.Rd 2013-10-11 13:35:49 UTC (rev 30)
@@ -58,10 +58,18 @@
\code{37} = rotated BB1 copula (270 degrees) \cr
\code{38} = rotated BB6 copula (270 degrees) \cr
\code{39} = rotated BB7 copula (270 degrees) \cr
- \code{40} = rotated BB8 copula (270 degrees)
+ \code{40} = rotated BB8 copula (270 degrees) \cr
+ \code{104} = Tawn type 1 copula \cr
+ \code{114} = rotated Tawn type 1 copula (180 degrees) \cr
+ \code{124} = rotated Tawn type 1 copula (90 degrees) \cr
+ \code{134} = rotated Tawn type 1 copula (270 degrees) \cr
+ \code{204} = Tawn type 2 copula \cr
+ \code{214} = rotated Tawn type 2 copula (180 degrees) \cr
+ \code{224} = rotated Tawn type 2 copula (90 degrees) \cr
+ \code{234} = rotated Tawn type 2 copula (270 degrees) \cr
}
\item{par}{Copula parameter; if empirical contour plot, \code{par = NULL} or \code{0} (default).}
- \item{par2}{Second copula parameter for t-, BB1, BB6, BB7 and BB8 copulas (default: \code{par2 = 0}).}
+ \item{par2}{Second copula parameter for t-, BB1, BB6, BB7, BB8, Tawn type 1 and type 2 copulas (default: \code{par2 = 0}).}
\item{PLOT}{Logical; whether the results are plotted.
If \code{PLOT = FALSE}, the values \code{x}, \code{y} and \code{z} are returned (see below; default: \code{PLOT = TRUE}).}
\item{margins}{Character; margins for the bivariate copula contour plot. Possible margins are:\cr
Modified: pkg/man/BiCopName.Rd
===================================================================
--- pkg/man/BiCopName.Rd 2013-10-11 07:46:49 UTC (rev 29)
+++ pkg/man/BiCopName.Rd 2013-10-11 13:35:49 UTC (rev 30)
@@ -47,6 +47,14 @@
\code{38} \tab \code{"BB6_270"} \tab \code{"Rotated Joe-Gumbel 270 degrees"} \cr
\code{39} \tab \code{"BB7_270"} \tab \code{"Rotated Joe-Clayton 270 degrees"} \cr
\code{40} \tab \code{"BB8_270"} \tab \code{"Rotated Frank-Joe 270 degrees"} \cr
+\code{104} \tab \code{"Tawn"} \tab \code{"Tawn type 1"} \cr
+\code{114} \tab \code{"Tawn180"} \tab \code{"Rotated Tawn type 1 180 degrees"} \cr
+\code{124} \tab \code{"Tawn90"} \tab \code{"Rotated Tawn type 1 90 degrees"} \cr
+\code{134} \tab \code{"Tawn270"} \tab \code{"Rotated Tawn type 1 270 degrees"} \cr
+\code{204} \tab \code{"Tawn2"} \tab \code{"Tawn type 2"} \cr
+\code{214} \tab \code{"Tawn2_180"} \tab \code{"Rotated Tawn type 2 180 degrees"} \cr
+\code{224} \tab \code{"Tawn2_90"} \tab \code{"Rotated Tawn type 2 90 degrees"} \cr
+\code{234} \tab \code{"Tawn2_270"} \tab \code{"Rotated Tawn type 2 270 degrees"} \cr
}
}
\item{short}{Logical; if the number of a bivariate copula family is used and \code{short = TRUE} (default),
Modified: pkg/man/BiCopPDF.Rd
===================================================================
--- pkg/man/BiCopPDF.Rd 2013-10-11 07:46:49 UTC (rev 29)
+++ pkg/man/BiCopPDF.Rd 2013-10-11 13:35:49 UTC (rev 30)
@@ -45,10 +45,18 @@
\code{37} = rotated BB1 copula (270 degrees) \cr
\code{38} = rotated BB6 copula (270 degrees) \cr
\code{39} = rotated BB7 copula (270 degrees) \cr
- \code{40} = rotated BB8 copula (270 degrees)
+ \code{40} = rotated BB8 copula (270 degrees) \cr
+ \code{104} = Tawn type 1 copula \cr
+ \code{114} = rotated Tawn type 1 copula (180 degrees) \cr
+ \code{124} = rotated Tawn type 1 copula (90 degrees) \cr
+ \code{134} = rotated Tawn type 1 copula (270 degrees) \cr
+ \code{204} = Tawn type 2 copula \cr
+ \code{214} = rotated Tawn type 2 copula (180 degrees) \cr
+ \code{224} = rotated Tawn type 2 copula (90 degrees) \cr
+ \code{234} = rotated Tawn type 2 copula (270 degrees) \cr
}
\item{par}{Copula parameter.}
- \item{par2}{Second parameter for bivariate copulas with two parameters (t, BB1, BB6, BB7, BB8; default: \code{par2 = 0}).}
+ \item{par2}{Second parameter for the two parameter t-, BB1, BB6, BB7, BB8, Tawn type 1 and type 2 copulas (default: \code{par2 = 0}).}
}
\value{
Modified: pkg/man/BiCopPar2Beta.Rd
===================================================================
--- pkg/man/BiCopPar2Beta.Rd 2013-10-11 07:46:49 UTC (rev 29)
+++ pkg/man/BiCopPar2Beta.Rd 2013-10-11 13:35:49 UTC (rev 30)
@@ -44,10 +44,18 @@
\code{37} = rotated BB1 copula (270 degrees) \cr
\code{38} = rotated BB6 copula (270 degrees) \cr
\code{39} = rotated BB7 copula (270 degrees) \cr
- \code{40} = rotated BB8 copula (270 degrees)
+ \code{40} = rotated BB8 copula (270 degrees) \cr
+ \code{104} = Tawn type 1 copula \cr
+ \code{114} = rotated Tawn type 1 copula (180 degrees) \cr
+ \code{124} = rotated Tawn type 1 copula (90 degrees) \cr
+ \code{134} = rotated Tawn type 1 copula (270 degrees) \cr
+ \code{204} = Tawn type 2 copula \cr
+ \code{214} = rotated Tawn type 2 copula (180 degrees) \cr
+ \code{224} = rotated Tawn type 2 copula (90 degrees) \cr
+ \code{234} = rotated Tawn type 2 copula (270 degrees) \cr
}
\item{par}{Copula parameter.}
- \item{par2}{Second parameter for the two parameter BB1, BB6, BB7 and BB8 copulas (default: \code{par2 = 0}).}
+ \item{par2}{Second parameter for the two parameter BB1, BB6, BB7, BB8, Tawn type 1 and type 2 copulas (default: \code{par2 = 0}).}
}
Modified: pkg/man/BiCopPar2TailDep.Rd
===================================================================
--- pkg/man/BiCopPar2TailDep.Rd 2013-10-11 07:46:49 UTC (rev 29)
+++ pkg/man/BiCopPar2TailDep.Rd 2013-10-11 13:35:49 UTC (rev 30)
@@ -44,10 +44,18 @@
\code{37} = rotated BB1 copula (270 degrees) \cr
\code{38} = rotated BB6 copula (270 degrees) \cr
\code{39} = rotated BB7 copula (270 degrees) \cr
- \code{40} = rotated BB8 copula (270 degrees)
+ \code{40} = rotated BB8 copula (270 degrees) \cr
+ \code{104} = Tawn type 1 copula \cr
+ \code{114} = rotated Tawn type 1 copula (180 degrees) \cr
+ \code{124} = rotated Tawn type 1 copula (90 degrees) \cr
+ \code{134} = rotated Tawn type 1 copula (270 degrees) \cr
+ \code{204} = Tawn type 2 copula \cr
+ \code{214} = rotated Tawn type 2 copula (180 degrees) \cr
+ \code{224} = rotated Tawn type 2 copula (90 degrees) \cr
+ \code{234} = rotated Tawn type 2 copula (270 degrees) \cr
}
\item{par}{Copula parameter.}
- \item{par2}{Second parameter for the two parameter t-, BB1, BB6, BB7 and BB8 copulas (default: \code{par2 = 0}).}
+ \item{par2}{Second parameter for the two parameter t-, BB1, BB6, BB7, BB8, Tawn type 1 and type 2 copulas (default: \code{par2 = 0}).}
}
\value{
@@ -94,6 +102,10 @@
\code{28, 38} \tab - \tab - \cr
\code{29, 39} \tab - \tab - \cr
\code{30, 40} \tab - \tab - \cr
+\code{104, 204} \tab - \tab \eqn{\Psi_1+\Psi_2-2((0.5\Psi_1)^{\theta}+(0.5\Psi_2)^{\theta})^{1/\theta}} \cr
+\code{114, 214} \tab \eqn{\Psi_1+\Psi_2-2((0.5\Psi_1)^{\theta}+(0.5\Psi_2)^{\theta})^{1/\theta}} \tab - \cr
+\code{124, 224} \tab - \tab - \cr
+\code{134, 234} \tab - \tab - \cr
}
}
Modified: pkg/man/BiCopPar2Tau.Rd
===================================================================
--- pkg/man/BiCopPar2Tau.Rd 2013-10-11 07:46:49 UTC (rev 29)
+++ pkg/man/BiCopPar2Tau.Rd 2013-10-11 13:35:49 UTC (rev 30)
@@ -44,10 +44,18 @@
\code{37} = rotated BB1 copula (270 degrees) \cr
\code{38} = rotated BB6 copula (270 degrees) \cr
\code{39} = rotated BB7 copula (270 degrees) \cr
- \code{40} = rotated BB8 copula (270 degrees)
+ \code{40} = rotated BB8 copula (270 degrees) \cr
+ \code{104} = Tawn type 1 copula \cr
+ \code{114} = rotated Tawn type 1 copula (180 degrees) \cr
+ \code{124} = rotated Tawn type 1 copula (90 degrees) \cr
+ \code{134} = rotated Tawn type 1 copula (270 degrees) \cr
+ \code{204} = Tawn type 2 copula \cr
+ \code{214} = rotated Tawn type 2 copula (180 degrees) \cr
+ \code{224} = rotated Tawn type 2 copula (90 degrees) \cr
+ \code{234} = rotated Tawn type 2 copula (270 degrees) \cr
}
\item{par}{Copula parameter.}
- \item{par2}{Second parameter for the two parameter BB1, BB6, BB7 and BB8 copulas (default: \code{par2 = 0}).
+ \item{par2}{Second parameter for the two parameter t-, BB1, BB6, BB7, BB8, Tawn type 1 and type 2 copulas (default: \code{par2 = 0}).
Note that the degrees of freedom parameter of the t-copula does not need to be set,
because the theoretical Kendall's tau value of the t-copula is independent of this choice.}
}
@@ -77,6 +85,11 @@
\code{29, 39} \tab \eqn{-1-4\int_0^1 ( (1-(1-t)^{-\theta})^{\delta} - )/( -\theta\delta(1-t)^{-\theta-1}(1-(1-t)^{-\theta})^{\delta-1} ) dt} \cr
\code{30, 40} \tab \eqn{-1-4\int_0^1 -\log \left( ((1+t\delta)^{-\theta}-1)/((1+\delta)^{-\theta}-1) \right)} \cr
\tab \eqn{* (1+t\delta-(1+t\delta)^{\theta}-(1+t\delta)^{\theta}t\delta)/(\theta\delta) dt} \cr
+ \code{104,114,204,214} \tab \eqn{\int_0^1 \frac{t(1-t)A^{\prime\prime}(t)}{A(t)^2}dt} \cr
+ \tab with \eqn{A(t) = (1-\Psi_2)(1-t)+(1-\Psi_1)t+[(\Psi_1(1-t))^{\theta}+(\Psi_2t)^{\theta}]^{1/\theta}} \cr
+ \code{124,134,224,234} \tab \eqn{-\int_0^1 \frac{t(1-t)A^{\prime\prime}(t)}{A(t)^2}dt} \cr
+ \tab with \eqn{A(t) = (1-\Psi_2)(1-t)+(1-\Psi_1)t+[(\Psi_1(1-t))^{-\theta}+(\Psi_2t)^{-\theta}]^{-1/\theta}} \cr
+
}
}
Modified: pkg/man/BiCopSelect.Rd
===================================================================
--- pkg/man/BiCopSelect.Rd 2013-10-11 07:46:49 UTC (rev 29)
+++ pkg/man/BiCopSelect.Rd 2013-10-11 13:35:49 UTC (rev 30)
@@ -51,7 +51,15 @@
\code{37} = rotated BB1 copula (270 degrees) \cr
\code{38} = rotated BB6 copula (270 degrees) \cr
\code{39} = rotated BB7 copula (270 degrees) \cr
- \code{40} = rotated BB8 copula (270 degrees)
+ \code{40} = rotated BB8 copula (270 degrees) \cr
+ \code{104} = Tawn type 1 copula \cr
+ \code{114} = rotated Tawn type 1 copula (180 degrees) \cr
+ \code{124} = rotated Tawn type 1 copula (90 degrees) \cr
+ \code{134} = rotated Tawn type 1 copula (270 degrees) \cr
+ \code{204} = Tawn type 2 copula \cr
+ \code{214} = rotated Tawn type 2 copula (180 degrees) \cr
+ \code{224} = rotated Tawn type 2 copula (90 degrees) \cr
+ \code{234} = rotated Tawn type 2 copula (270 degrees) \cr
}
\item{selectioncrit}{Character indicating the criterion for bivariate copula selection. Possible choices: \code{selectioncrit = "AIC"} (default) or \code{"BIC"}.}
\item{indeptest}{Logical; whether a hypothesis test for the independence of \code{u1} and \code{u2} is performed before bivariate copula selection
Modified: pkg/man/BiCopSim.Rd
===================================================================
--- pkg/man/BiCopSim.Rd 2013-10-11 07:46:49 UTC (rev 29)
+++ pkg/man/BiCopSim.Rd 2013-10-11 13:35:49 UTC (rev 30)
@@ -45,10 +45,18 @@
\code{37} = rotated BB1 copula (270 degrees) \cr
\code{38} = rotated BB6 copula (270 degrees) \cr
\code{39} = rotated BB7 copula (270 degrees) \cr
- \code{40} = rotated BB8 copula (270 degrees)
+ \code{40} = rotated BB8 copula (270 degrees) \cr
+ \code{104} = Tawn type 1 copula \cr
+ \code{114} = rotated Tawn type 1 copula (180 degrees) \cr
+ \code{124} = rotated Tawn type 1 copula (90 degrees) \cr
+ \code{134} = rotated Tawn type 1 copula (270 degrees) \cr
+ \code{204} = Tawn type 2 copula \cr
+ \code{214} = rotated Tawn type 2 copula (180 degrees) \cr
+ \code{224} = rotated Tawn type 2 copula (90 degrees) \cr
+ \code{234} = rotated Tawn type 2 copula (270 degrees) \cr
}
\item{par}{Copula parameter.}
- \item{par2}{Second parameter for bivariate copulas with two parameters (t, BB1,BB6, BB7, BB8; default: \code{par2 = 0}).}
+ \item{par2}{Second parameter for the two parameter BB1, BB6, BB7, BB8, Tawn type 1 and type 2 copulas (default: \code{par2 = 0}).}
}
\value{
Modified: pkg/man/BiCopVuongClarke.Rd
===================================================================
--- pkg/man/BiCopVuongClarke.Rd 2013-10-11 07:46:49 UTC (rev 29)
+++ pkg/man/BiCopVuongClarke.Rd 2013-10-11 13:35:49 UTC (rev 30)
@@ -50,7 +50,15 @@
\code{37} = rotated BB1 copula (270 degrees) \cr
\code{38} = rotated BB6 copula (270 degrees) \cr
\code{39} = rotated BB7 copula (270 degrees) \cr
- \code{40} = rotated BB8 copula (270 degrees)
+ \code{40} = rotated BB8 copula (270 degrees) \cr
+ \code{104} = Tawn type 1 copula \cr
+ \code{114} = rotated Tawn type 1 copula (180 degrees) \cr
+ \code{124} = rotated Tawn type 1 copula (90 degrees) \cr
+ \code{134} = rotated Tawn type 1 copula (270 degrees) \cr
+ \code{204} = Tawn type 2 copula \cr
+ \code{214} = rotated Tawn type 2 copula (180 degrees) \cr
+ \code{224} = rotated Tawn type 2 copula (90 degrees) \cr
+ \code{234} = rotated Tawn type 2 copula (270 degrees) \cr
}
\item{correction}{Correction for the number of parameters.
Possible choices: \code{correction = FALSE} (no correction; default), \code{"Akaike"} and \code{"Schwarz"}.}
Modified: pkg/man/C2RVine.Rd
===================================================================
--- pkg/man/C2RVine.Rd 2013-10-11 07:46:49 UTC (rev 29)
+++ pkg/man/C2RVine.Rd 2013-10-11 13:35:49 UTC (rev 30)
@@ -45,10 +45,18 @@
\code{37} = rotated BB1 copula (270 degrees) \cr
\code{38} = rotated BB6 copula (270 degrees) \cr
\code{39} = rotated BB7 copula (270 degrees) \cr
- \code{40} = rotated BB8 copula (270 degrees)
+ \code{40} = rotated BB8 copula (270 degrees) \cr
+ \code{104} = Tawn type 1 copula \cr
+ \code{114} = rotated Tawn type 1 copula (180 degrees) \cr
+ \code{124} = rotated Tawn type 1 copula (90 degrees) \cr
+ \code{134} = rotated Tawn type 1 copula (270 degrees) \cr
+ \code{204} = Tawn type 2 copula \cr
+ \code{214} = rotated Tawn type 2 copula (180 degrees) \cr
+ \code{224} = rotated Tawn type 2 copula (90 degrees) \cr
+ \code{234} = rotated Tawn type 2 copula (270 degrees) \cr
}
\item{par}{A d*(d-1)/2 vector of pair-copula parameters.}
- \item{par2}{A d*(d-1)/2 vector of second pair-copula parameters (optional; default:\cr \code{par2 = rep(0,length(family))}), necessary for the t-, BB1, BB6, BB7 and BB8 copulas.}
+ \item{par2}{A d*(d-1)/2 vector of second pair-copula parameters (optional; default:\cr \code{par2 = rep(0,length(family))}), necessary for the t-, BB1, BB6, BB7, BB8, Tawn type 1 and type 2 copulas.}
}
\value{
Modified: pkg/man/D2RVine.Rd
===================================================================
--- pkg/man/D2RVine.Rd 2013-10-11 07:46:49 UTC (rev 29)
+++ pkg/man/D2RVine.Rd 2013-10-11 13:35:49 UTC (rev 30)
@@ -45,11 +45,19 @@
\code{37} = rotated BB1 copula (270 degrees) \cr
\code{38} = rotated BB6 copula (270 degrees) \cr
\code{39} = rotated BB7 copula (270 degrees) \cr
- \code{40} = rotated BB8 copula (270 degrees)
+ \code{40} = rotated BB8 copula (270 degrees) \cr
+ \code{104} = Tawn type 1 copula \cr
+ \code{114} = rotated Tawn type 1 copula (180 degrees) \cr
+ \code{124} = rotated Tawn type 1 copula (90 degrees) \cr
+ \code{134} = rotated Tawn type 1 copula (270 degrees) \cr
+ \code{204} = Tawn type 2 copula \cr
+ \code{214} = rotated Tawn type 2 copula (180 degrees) \cr
+ \code{224} = rotated Tawn type 2 copula (90 degrees) \cr
+ \code{234} = rotated Tawn type 2 copula (270 degrees) \cr
}
\item{par}{A d*(d-1)/2 vector of pair-copula parameters.}
\item{par2}{A d*(d-1)/2 vector of second pair-copula parameters (optional; default:\cr \code{par2 = rep(0,length(family))}),
- necessary for the t-, BB1, BB6, BB7 and BB8 copulas.}
+ necessary for the t-, BB1, BB6, BB7, BB8, Tawn type 1 and type 2 copulas.}
}
\value{
Modified: pkg/man/RVineCopSelect.Rd
===================================================================
--- pkg/man/RVineCopSelect.Rd 2013-10-11 07:46:49 UTC (rev 29)
+++ pkg/man/RVineCopSelect.Rd 2013-10-11 13:35:49 UTC (rev 30)
@@ -67,7 +67,15 @@
\code{37} = rotated BB1 copula (270 degrees) \cr
\code{38} = rotated BB6 copula (270 degrees) \cr
\code{39} = rotated BB7 copula (270 degrees) \cr
- \code{40} = rotated BB8 copula (270 degrees)
+ \code{40} = rotated BB8 copula (270 degrees) \cr
+ \code{104} = Tawn type 1 copula \cr
+ \code{114} = rotated Tawn type 1 copula (180 degrees) \cr
+ \code{124} = rotated Tawn type 1 copula (90 degrees) \cr
+ \code{134} = rotated Tawn type 1 copula (270 degrees) \cr
+ \code{204} = Tawn type 2 copula \cr
+ \code{214} = rotated Tawn type 2 copula (180 degrees) \cr
+ \code{224} = rotated Tawn type 2 copula (90 degrees) \cr
+ \code{234} = rotated Tawn type 2 copula (270 degrees) \cr
}
\item{par}{Estimated pair-copula parameter matrix.}
\item{par2}{Estimated second pair-copula parameter matrix with parameters of pair-copula families with two parameters.}
Modified: pkg/man/RVineGofTest.Rd
===================================================================
--- pkg/man/RVineGofTest.Rd 2013-10-11 07:46:49 UTC (rev 29)
+++ pkg/man/RVineGofTest.Rd 2013-10-11 13:35:49 UTC (rev 30)
@@ -1,164 +1,164 @@
-\name{RVineGofTest}
-\alias{RVineGofTest}
-
-\title{Goodness-of-fit tests for R-vine copula models}
-
-\description{
-This function performs a goodness-of-fit test for R-vine copula models. There are 15 different goodness-of-fit tests implemented, described in Schepsmeier (2013).
-}
-
-\usage{
-RVineGofTest(data,RVM,method="White",statistic="CvM",B=200,alpha=2)
-}
-
-\arguments{
- \item{data}{An N x d data matrix (with uniform margins).}
- \item{RVM}{\code{\link{RVineMatrix}} objects of the R-vine model under the null hypothesis.}
- \item{method}{A string indicating the goodness-of-fit method:\cr
- \code{"White"} = goodness-of-fit test based on White's information matrix equality (default) \cr
- \code{"IR"} = goodness-of-fit test based on the information ratio \cr
- \code{"Breymann"} = goodness-of-fit test based on the probability integral transform (PIT) and the aggregation to univariate data by Breymann et al. (2003). \cr
- \code{"Berg"} = goodness-of-fit test based on the probability integral transform (PIT) and the aggregation to univariate data by Berg and Bakken (2007). \cr
- \code{"Berg2"} = second goodness-of-fit test based on the probability integral transform (PIT) and the aggregation to univariate data by Berg and Bakken (2007). \cr
- \code{"ECP"} = goodness-of-fit test based on the empirical copula process (ECP) \cr
- \code{"ECP2"} = goodness-of-fit test based on the combination of probability integral transform (PIT) and empirical copula process (ECP) (Genest et al. 2009) \cr
- }
- \item{statistic}{A string indicating the goodness-of-fit test statistic type:\cr
- \code{"CvM"} = Cramer-von Mises test statistic (univariate for \code{"Breymann"}, \code{"Berg"} and \code{"Berg2"}, multivariate for \code{"ECP"} and \code{"ECP2"}) \cr
- \code{"KS"} = Kolmogorov-Smirnov test statistic (univariate for \code{"Breymann"}, \code{"Berg"} and \code{"Berg2"}, multivariate for \code{"ECP"} and \code{"ECP2"}) \cr
- \code{"AD"} = Anderson-Darling test statistic (only univariate for \code{"Breymann"}, \code{"Berg"} and \code{"Berg2"})
- }
- \item{B}{an integer for the number of bootstrap steps (default \code{B=200})\cr
- For \code{B = 0} the asymptotic p-value is returned if available, otherwise only the the test statistic is returned.\cr
- WARNING: If \code{B} is chosen too large, computations will take very long.}
- \item{alpha}{an integer of the set \code{2,4,6,...} for the \code{"Berg2"} goodness-of-fit test (default \code{alpha=2})}
-}
-
-\value{
- For \code{method="White"}:
- \item{White}{test statistic}
- \item{p.value}{p-value, either asymptotic for \code{B=0} or bootstrapped for \code{B>0}}
- For \code{method="IR"}:
- \item{IR}{test statistic}
- \item{p.value}{So far no p-value is returned nigher a asymptotic nor a bootstrapped one. How to calculated a bootstrapped p-value is explained in Schepsmeier (2013)}
- For \code{method="Breymann"}, \code{method="Berg"} and \code{method="Berg2"}:
- \item{CvM, KS, AD}{test statistic according to the choice of \code{statistic}}
- \item{p.value}{p-value, either asymptotic for \code{B=0} or bootstrapped for \code{B>0}.
- A asymptotic p-value is only available for the Anderson-Darling test statistic if the R-package \code{ADGofTest} is loaded. \cr
- Furthermore, a asymptotic p-value can be calculated for the Kolmogorov-Smirnov test statistic. For the Cramer-von Mises no asymptotic p-value is available so far.}
- For \code{method="ECP"} and \code{method="ECP2"}:
- \item{CvM, KS}{test statistic according to the choice of \code{statistic}}
- \item{p.value}{bootstrapped p-value}
-}
-
-
-\details{
-\code{method="White"}: \cr
-This goodness-of fit test uses the information matrix equality of White (1982) and was original investigated by Wanling and Prokhorov (2011) for copulas. \cr
-Schepsmeier (2012) enhanced their approach to the vine copula case. \cr
-The main contribution is that under correct model specification the Fisher Information can be equivalently calculated as minus the expected Hessian matrix or as the expected outer product of the score function.
-The null hypothesis is
-\deqn{
- H_0: \boldsymbol{H}(\theta) + \boldsymbol{C}(\theta) = 0
-}
-against the alternative
-\deqn{
- H_0: \boldsymbol{H}(\theta) + \boldsymbol{C}(\theta) \neq 0 ,
-}
-where \eqn{\boldsymbol{H}(\theta)} is the expected Hessian matrix and \eqn{\boldsymbol{C}(\theta)} is the expected outer product of the score function. \cr
-For the calculation of the test statistic we use the consistent maximum likelihood estimator \eqn{\hat{\theta}} and the sample counter parts of \eqn{\boldsymbol{H}(\theta)} and \eqn{\boldsymbol{C}(\theta)}. \cr
-The correction of the Covariance-Matrix in the test statistic for the uncertainty in the margins is skipped. The implemented tests assumes that where is no uncertainty in the margins. The correction can be found in Wanling and Prokhorov (2011) for bivariate copulas and in Schepsmeier (2013) for vine copulas. It involves multi-dimensional integrals. \cr
-
-\code{method="IR"}: \cr
-As the White test the information matrix ratio test is based on the expected Hessian matrix \eqn{\boldsymbol{H}(\theta)} and the expected outer product of the score function \eqn{\boldsymbol{C}(\theta)}. \cr
-\deqn{
- H_0: -\boldsymbol{H}(\theta)^{-1}\boldsymbol{C}(\theta) = I_{p}
-}
-against the alternative
-\deqn{
- H_0: -\boldsymbol{H}(\theta)^{-1}\boldsymbol{C}(\theta) \neq I_{p} .
-}
-The test statistic can then be calculated as
-\deqn{
- IR_n:=tr(\Phi(\theta)/p
-}
-with \eqn{\Phi(\theta)=-\boldsymbol{H}(\theta)^{-1}\boldsymbol{C}(\theta)}, p is the number of parameters, i.e. the length of \eqn{\theta}, and tr(A) is the trace of the matrix A \cr
-For details see Schepsmeier (2013) \cr
-
-\code{method="Breymann"}, \code{method="Berg"} and \code{method="Berg2"}: \cr
-These tests are based on the multivariate probability integral transform (PIT) applied in \code{\link{RVinePIT}}. The multivariate data \eqn{y_{i}} returned form the PIT are aggregated to univariate data by different aggregation functions \eqn{\Gamma(\cdot)} in the sum
-\deqn{
- s_t=\sum_{i=1}^d \Gamma(y_{it}), t=1,...,n
-}
-In Breymann et al. (2003) the weight function is suggested as \eqn{\Gamma(\cdot)=\Phi^{-1}(\cdot)^2}, while in Berg and Bakken (2007) the weight function is either \eqn{\Gamma(\cdot)=|\cdot-0.5|} (\code{method="Berg"}) or \eqn{\Gamma(\cdot)=(\cdot-0.5)^{\alpha},\alpha=2,4,6,...} (\code{method="Berg2"}). \cr
-Furthermore, the \code{"Berg"} and \code{"Berg2"} test are based on the order statistics of the PIT returns. \cr
-See Berg and Bakken (2007) or Schepsmeier (2013) for details. \cr
-
-\code{method="ECP"} and \code{method="ECP2"}: \cr
-Both tests are test for \eqn{H_0: C \in C_0} against \eqn{H_1: C \notin C_0}
-where C denotes the (vine) copula distribution function and \eqn{C_0} is a class of parametric
-(vine) copulas with \eqn{\Theta\subseteq R^p} being the parameter space of dimension p.
-They are based on the empirical copula process (ECP)
-\deqn{
- \hat{C}_n(u)-C_{\hat{\theta}_n}(u),
-}
-with \eqn{u=(u_1,\ldots,u_d)\in[0,1]^d} and \eqn{\hat{C}_n(u) = \frac{1}{n+1}\sum_{t=1}^n \boldsymbol{1}_{\{U_{t1}\leq u_1,\ldots,U_{td}\leq u_d \}} }.
-The ECP is utilized in a multivariate Cramer-von Mises (CvM) or multivariate Kolmogorov-Smirnov (KS) based test statistic.
-An extension of the ECP-test is the
-combination of the multivariate PIT approach with the ECP. The general idea is that
-the transformed data of a multivariate PIT should be "close" to the independence
-copula Genest et al. (2009). Thus a distance of CvM or KS type between them
-is considered. This approach is called ECP2. Again we refer to Schepsmeier (2013) for details.
-}
-
-\author{Ulf Schepsmeier}
-
-\references{
-Berg, D. and H. Bakken (2007)
-A copula goodness-of-fit apprach based on the conditional probability integral transformation.
-\url{http://www.danielberg.no/publications/Btest.pdf}
-
-Breymann, W., A. Dias and P. Embrechts (2003)
-Dependence structures for multivariate high-frequence data in finance.
-Quantitative Finance 3, 1-14
-
-Genest, C., B. Remillard, and D. Beaudoin (2009)
-Goodness-of-fit tests for copulas: a review and power study.
-Insur. Math. Econ. 44, 199-213.
-
-Schepsmeier, U. (2013)
-A goodness-of-fit test for regular vine copula models.
-Preprint
-\url{http://arxiv.org/abs/1306.0818}
-
-Schepsmeier, U. (2013)
[TRUNCATED]
To get the complete diff run:
svnlook diff /svnroot/vinecopula -r 30
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