R语言 CDVine包 CDVineSim()函数中文帮助文档(中英文对照)

loveR · 发表于 2012-9-16 09:21:29

CDVineSim(CDVine)
CDVineSim()所属R语言包：CDVine

 Simulation from C- and D-vine copula models
 从C-D-葡萄树Copula函数模型的模拟

 译者：生物统计家园网机器人LoveR

描述----------Description----------

This function simulates from given C- and D-vine copula models.
此功能可以模拟从给定的C-D-葡萄树的copula模型。

用法----------Usage----------

CDVineSim(N, family, par, par2=rep(0,length(family)), type)

参数----------Arguments----------

参数：N
Number of d-dimensional observations simulated.
d维观测模拟数。

参数：family
A d*(d-1)/2 integer vector of C-/D-vine pair-copula families with values 0 = independence copula 1 = Gaussian copula 2 = Student t copula (t-copula) 3 = Clayton copula 4 = Gumbel copula 5 = Frank copula 6 = Joe copula 7 = BB1 copula 8 = BB6 copula 9 = BB7 copula 10 = BB8 copula 13 = rotated Clayton copula (180 degrees; “survival Clayton”) 14 = rotated Gumbel copula (180 degrees; “survival Gumbel”) 16 = rotated Joe copula (180 degrees; “survival Joe”) 17 = rotated BB1 copula (180 degrees; “survival BB1”) 18 = rotated BB6 copula (180 degrees; “survival BB6”) 19 = rotated BB7 copula (180 degrees; “survival BB7”) 20 = rotated BB8 copula (180 degrees; “survival BB8”) 23 = rotated Clayton copula (90 degrees) 24 = rotated Gumbel copula (90 degrees) 26 = rotated Joe copula (90 degrees) 27 = rotated BB1 copula (90 degrees) 28 = rotated BB6 copula (90 degrees) 29 = rotated BB7 copula (90 degrees) 30 = rotated BB8 copula (90 degrees) 33 = rotated Clayton copula (270 degrees) 34 = rotated Gumbel copula (270 degrees) 36 = rotated Joe copula (270 degrees) 37 = rotated BB1 copula (270 degrees) 38 = rotated BB6 copula (270 degrees) 39 = rotated BB7 copula (270 degrees) 40 = rotated BB8 copula (270 degrees)
A D *（D-1）/ 2个整数向量的值 0独立系词参考1=高斯Copula的参考C-/D-vine对Copula的家庭， 2=学生t Copula函数（T-Copula函数）参考3=克莱顿系词参考4= Gumbel分布Copula的参考5=弗兰克·系词参考6=乔系词参考7= BB1 Copula的参考8= BB6 Copula的参考9= BB7系词参考10= BB8系词参考13=旋转（180度“生存克莱顿”）克莱顿系词参考14=旋转（180度; Gumbel分布Copula的“生存冈贝尔”）参考16 =旋转乔系词（180度;“生存乔”）参考17=旋转BB1 Copula函数（180度“生存BB1”）参考18=旋转BB6 Copula的参考19=旋转（180度“生存BB7”）BB7系词参考20=旋转BB8系词（180度（180度“生存BB6”）; “生存BB8”）参考23=旋转克莱顿系词（90度）参考24=旋转冈贝尔系词（90度）参考26=旋转乔系词（90度）参考27=旋转BB1 Copula函数（90度）参考28=旋转BB6 Copula函数（90度）参考29=旋转BB7系词（90度）参考30=旋转BB8系词（90度）参考33 =旋转（270度）克莱顿系词参考34=旋转：耿贝尔系词（270度）参考36=旋转乔系词（270度）参考37=旋转BB1 Copula函数（270度）参考38=旋转BB6 Copula函数（270度） >39=旋转BB7系词（270度）参考40=旋转BB8系词（270度）

参数：par
A d*(d-1)/2 vector of pair-copula parameters.
A D *（D-1）/ 2矢量的对Copula函数的参数。

参数：par2
A d*(d-1)/2 vector of second parameters for pair-copula families with two parameters (t, BB1, BB6, BB7, BB8; default: par2 = rep(0,length(family))).
A D *（D-1）/ 2矢量的两个参数（T，BB1，BB6，BB7，BB8，默认对Copula的家庭，第二个参数为：par2 = rep(0,length(family))）。

参数：type
Type of the vine model: 1 or "CVine" = C-vine 2 or "DVine" = D-vine
类型： 1或"CVine"= C-藤 ·2或"DVine"= D-葡萄树的葡萄树模型

值----------Value----------

An N x d matrix of data simulated from the given C- or D-vine copula model.
NXD从给定的C-D-葡萄树copula模型模拟的数据矩阵。

（作者）----------Author(s)----------

Carlos Almeida, Ulf Schepsmeier, Eike Brechmann, Jakob Stoeber

参考文献----------References----------

Pair-copula constructions of multiple dependence. Insurance: Mathematics and Economics 44 (2), 182-198.

参见----------See Also----------

CDVineLogLik, BiCopSim
CDVineLogLik，BiCopSim

实例----------Examples----------

## Example 1: simulate from a 6-dimensional C-vine model [例1：模拟一个6维C-葡萄树模型]
## with Gaussian pair-copulas[＃高斯对Copula函数]
d = 6
dd = d*(d-1)/2
fam1 = rep(1,dd)
par1 = c(0.2,0.69,0.73,0.22,-0.09,0.51,0.32,0.01,0.82,0.01,
 -0.2,-0.32,-0.19,-0.17,-0.06)
N = 100
U1 = CDVineSim(N,fam1,par1,type=1)
head(U1)

# calculate the log-likelihood[计算对数似然]
logLik = CDVineLogLik(U1,fam1,par1,type=1)
logLik$loglik

## Example 2: simulate from a 6-dimensional C-vine model [＃例2：模拟一个6维C-葡萄树模型]
## with Student t pair-copulas each with three degrees of freedom[＃与学生t-Copula函数有三个自由度对]
fam2 = rep(2,dd)
par2 = rep(0.5,dd)
nu2 = rep(3,dd)
U2 = CDVineSim(N,fam2,par2,nu2,type=1)

# calculate the log-likelihood[计算对数似然]
logLik2 = CDVineLogLik(U2,fam2,par2,nu2,type=1)
logLik2$loglik

## Example 3: simulate from a 6-dimensional D-vine model[＃实施例3：从6维的D-葡萄树模型模拟]
## with Student t pair-copulas each with five degrees of freedom[＃学生t对Copula函数的五个自由度]
fam3 = rep(2,dd)
par3 = rep(0.4,dd)
nu3 = rep(5,dd)
U3 = CDVineSim(N,fam3,par3,nu3,type=2)

# calculate the log-likelihood[计算对数似然]
logLik3 = CDVineLogLik(U3,fam3,par3,nu3,type=2)
logLik3$loglik

转载请注明:出自生物统计家园网(http://www.biostatistic.net)。

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