This function computes the values of Blomqvist's beta corresponding to the parameters of an R-vine copula model.
RVinePar2Beta(RVM, check.pars = TRUE)An RVineMatrix() object.
Note that the Student's
t-copula is not allowed since the CDF of the t-copula is not implemented
(see BiCopCDF() and BiCopPar2Beta()).
logical; default is TRUE; if FALSE, checks
for family/parameter-consistency are omitted (should only be used with care).
Matrix with the same structure as the family and parameter matrices
of the RVineMatrix() object RVM where the entries are
values of Blomqvist's beta corresponding to the families and parameters of
the R-vine copula model given by RVM.
# define 5-dimensional R-vine tree structure matrix
Matrix <- c(5, 2, 3, 1, 4,
0, 2, 3, 4, 1,
0, 0, 3, 4, 1,
0, 0, 0, 4, 1,
0, 0, 0, 0, 1)
Matrix <- matrix(Matrix, 5, 5)
# define R-vine pair-copula family matrix
family <- c(0, 1, 3, 4, 4,
0, 0, 3, 4, 1,
0, 0, 0, 4, 1,
0, 0, 0, 0, 3,
0, 0, 0, 0, 0)
family <- matrix(family, 5, 5)
# define R-vine pair-copula parameter matrix
par <- c(0, 0.2, 0.9, 1.5, 3.9,
0, 0, 1.1, 1.6, 0.9,
0, 0, 0, 1.9, 0.5,
0, 0, 0, 0, 4.8,
0, 0, 0, 0, 0)
par <- matrix(par, 5, 5)
# define second R-vine pair-copula parameter matrix
par2 <- matrix(0, 5, 5)
# define RVineMatrix object
RVM <- RVineMatrix(Matrix = Matrix, family = family,
par = par, par2 = par2,
names = c("V1", "V2", "V3", "V4", "V5"))
# compute the Blomqvist's beta values
BlomBeta <- RVinePar2Beta(RVM)