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| Original file line number | Diff line number | Diff line change |
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| @@ -0,0 +1,38 @@ | ||
| ## ---- message=FALSE------------------------------------------------------ | ||
| require(copula) | ||
| source(system.file("Rsource", "AC-Liouville.R", package="copula")) | ||
| set.seed(271) | ||
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| ## ------------------------------------------------------------------------ | ||
| n <- 1000 | ||
| theta <- 0.59 | ||
| d <- 3 | ||
| U <- rACsimplex(n, d=d, theta=theta, Rdist="Gamma") | ||
| cor(U, method="kendall") | ||
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| ## ---- fig.align="center", fig.width=6, fig.height=6---------------------- | ||
| par(pty="s") | ||
| pairs(U, gap=0, cex=0.5) | ||
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| ## ------------------------------------------------------------------------ | ||
| n <- 2000 | ||
| theta <- 0.6 | ||
| alpha <- c(1, 5, 20) | ||
| U <- rLiouville(n, alpha=alpha, theta=theta, Rdist="Gamma") | ||
| cor(U, method="kendall") | ||
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| ## ---- fig.align="center", fig.width=6, fig.height=6---------------------- | ||
| par(pty="s") | ||
| pairs(U, gap=0, cex=0.5) | ||
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| ## ------------------------------------------------------------------------ | ||
| n <- 1000 | ||
| theta <- 0.59 | ||
| alpha <- c(1, 3, 4) | ||
| U <- rACLiouville(n, alpha=alpha, theta=theta, family="Clayton") | ||
| cor(U, method="kendall") | ||
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| ## ---- fig.align="center", fig.width=6, fig.height=6---------------------- | ||
| par(pty="s") | ||
| pairs(U, gap=0, cex=0.5) | ||
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,65 @@ | ||
| ## ---- message=FALSE------------------------------------------------------ | ||
| require(copula) | ||
| set.seed(271) | ||
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| ## ------------------------------------------------------------------------ | ||
| mu <- 0 | ||
| sigma <- 1 | ||
| df <- 3 | ||
| alpha <- 10 | ||
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| ## ------------------------------------------------------------------------ | ||
| rtls <- function(n, df, mu, sigma) sigma * rt(n,df) + mu | ||
| ptls <- function(x, df, mu, sigma) pt((x - mu)/sigma,df) | ||
| qtls <- function(u, df, mu, sigma) sigma * qt(u,df) + mu | ||
| dtls <- function(u, df, mu, sigma) dt((x - mu)/sigma,df)/sigma | ||
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| ## ------------------------------------------------------------------------ | ||
| rclayton <- function(n, alpha) { | ||
| u <- runif(n+1) # innovations | ||
| v <- u | ||
| for(i in 2:(n+1)) | ||
| v[i] <- ((u[i]^(-alpha/(1+alpha)) -1)*v[i-1]^(-alpha) +1)^(-1/alpha) | ||
| v[2:(n+1)] | ||
| } | ||
| n <- 200 | ||
| u <- rclayton(n, alpha = alpha) | ||
| u <- qtls(u, df=df, mu=mu, sigma=sigma) | ||
| y <- u[-n] | ||
| x <- u[-1] | ||
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| ## ------------------------------------------------------------------------ | ||
| fitCopula(claytonCopula(dim=2), | ||
| cbind(ptls(x,df,mu,sigma), ptls(y,df,mu,sigma))) | ||
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| ## ------------------------------------------------------------------------ | ||
| ## Identical margins | ||
| M2tlsI <- mvdc(claytonCopula(dim=2), c("tls","tls"), | ||
| rep(list(list(df=NA, mu=NA, sigma=NA)), 2), marginsIdentical= TRUE) | ||
| (fit.id.mar <- fitMvdc(cbind(x,y), M2tlsI, start=c(3,1,1, 10))) | ||
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| ## Not necessarily identical margins | ||
| M2tls <- mvdc(claytonCopula(dim=2), c("tls","tls"), | ||
| rep(list(list(df=NA, mu=NA, sigma=NA)), 2)) | ||
| fitMvdc(cbind(x,y), M2tls, start=c(3,1,1, 3,1,1, 10)) | ||
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| ## ---- fig.align="center", fig.width=6, fig.height=6---------------------- | ||
| u.cond <- function(z, tau, df, mu, sigma, alpha) | ||
| ((tau^(-alpha/(1+alpha)) -1) * ptls(z,df,mu,sigma)^(-alpha) + 1) ^ (-1/alpha) | ||
| y.cond <- function(z, tau, df, mu, sigma, alpha) { | ||
| u <- u.cond(z, tau, df, mu, sigma, alpha) | ||
| qtls(u, df=df, mu=mu, sigma=sigma) | ||
| } | ||
| plot(x, y) | ||
| title("True and estimated conditional quantile functions") | ||
| mtext(quote("for" ~~ tau == (1:5)/6)) | ||
| z <- seq(min(y),max(y),len = 60) | ||
| for(i in 1:5) { | ||
| tau <- i/6 | ||
| lines(z, y.cond(z, tau, df,mu,sigma, alpha)) | ||
| ## and compare with estimate: | ||
| b <- fit.id.mar@estimate | ||
| lines(z, y.cond(z, tau, df=b[1], mu=b[2], sigma=b[3], alpha=b[4]), | ||
| col="red") | ||
| } | ||
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