Custom S-vine models

Custom S-vine models

Usage

svinecop_dist(
  pair_copulas,
  cs_structure,
  p,
  out_vertices,
  in_vertices,
  var_types = rep("c", dim(cs_structure)[1])
)

Arguments

pair_copulas

A nested list of 'bicop_dist' objects, where pair_copulas[[t]][[e]] corresponds to the pair-copula at edge e in tree t. Only the most-left unique pair copulas are used, others can be omitted.

cs_structure

The cross-sectional structure. Either a matrix, or an rvine_structure object; see rvinecopulib::rvine_structure()

p

the Markov order.

out_vertices

a permutation of 1, ..., d specifying the out-vertices.

in_vertices

a permutation of 1, ..., d specifying the in-vertices.

var_types

variable types; a character vector with one entry per variable: "c" for continuous, "d" for discrete. For discrete variables, methods on the returned object expect data in the compact layout: all regular CDF F(x) columns first, then one left-limit column F(x-) per discrete variable.

Value

Returns the model as an object with classes svinecop_dist. Also inherits from vinecop_dist such that many functions from rvinecopulib can be called.

See also

svinecop_loglik, svinecop_sim, svinecop_hessian, svinecop_scores

Examples

cs_struct <- cvine_structure(1:2)
pcs <- list(
  list(  # first tree
    bicop_dist("clayton", 0, 3), # cross sectional copula
    bicop_dist("gaussian", 0, -0.1)  # serial copula
  ),
  list(  # second tree
    bicop_dist("gaussian", 0, 0.2), bicop_dist("indep")  
  ),
  list( # third tree
    bicop_dist("indep")
  )
)

cop <- svinecop_dist(
  pcs, cs_struct, p = 1, out_vertices = 1:2, in_vertices = 1:2)