p2P {copula} | R Documentation |
p2P()
creates a matrix
from a given
vector
of parameters. P2p()
creates a
numeric vector from a given matrix
,
currently useful for elliptical copulas.
getSigma()
returns the d * d symmetric
matrix Σ which is called “Rho” as well, written
(capital Greek rho !) as P (and hence sometimes
erronously pronounced "Pee").
Note that getSigma()
works for all elliptical copulas and uses
p2P()
for the “unstuctured” case, dispstr = "un"
.
p2P(param, d) P2p(P) getSigma(copula)
param |
a parameter vector. |
d |
dimension of the resulting |
P |
|
copula |
an elliptical copula, i.e., an object (extending)
class |
These auxiliary functions are often used when working with elliptical copulas.
p2P
: a symmetric matrix
with ones on the
diagonal and the values of param
filled column-wise below the
diagonal (which corresponds to row-wise filling above the diagonal).
P2p
: vector
of column-wise below-diagonal
entries of P
(equal to the row-wise above-diagonal entries in
case of a symmetric matrix).
getSigma
: matrix
as from p2P()
for all cases of elliptical copulas.
ellipCopula
, tCopula
, normalCopula
.
## display the definitions p2P P2p param <- (2:7)/10 tC <- tCopula(param, dim = 4, dispstr="un", df = 3) ## consistency of the three functions : P <- p2P(param, d=4) stopifnot(identical(param, P2p(P)), identical(P, getSigma(tC))) ## Toeplitz case: (tCt <- tCopula((2:6)/10, dim = 6, disp = "toep")) (rhoP <- tCt@getRho(tCt)) stopifnot(identical(getSigma (tCt), toeplitz (c(1, rhoP))))