VineCopula (VineCopulaObject)

Constructor for objects of the VineCopula class

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Purpose

The "function" VineCopula can be used to specify members of the VineCopula class. At least the properties dimension, type and simplified have to be specified.

Usage

    Three entries
           VineCopulaObject = VineCopula(dimension,type,simplified)
    Four entries
           VineCopulaObject = VineCopula(dimension,type,simplified,structure)
    Five entries
           VineCopulaObject = VineCopula(dimension,type,simplified,structure,families)
    Six entries
           VineCopulaObject = VineCopula(dimension,type,simplified,structure,families,parameters)
    Seven entries
           VineCopulaObject = VineCopula(dimension,type,simplified,structure,families,parameters,condparameterfunctionals)

    Example 1: Three-dimensional non-simplified C-Vine
    copula (in three different but equivalent forms)
           VineCopulaObject = VineCopula(3,'C-Vine',[0],[1 2 3],{'Clayton','Gumbel','Frank'},{1.2, 3,[]},{@(u) (4.*u-2).^3})
           VineCopulaObject = VineCopula(3,'C-Vine',[0],[1 2 3],[7, 11, 9],{1.2, 3,[]},{@(u) (4.*u-2).^3})
           VineCopulaObject = VineCopula(3,'C-Vine',0,[1 2 3],{'Clayton','Gumbel','Frank'},[1.2, 3],{@(u) (4.*u-2).^3})
    Example 2: Three-dimensional simplified C-Vine copula
    (in three different but equivalent forms)
           VineCopulaObject = VineCopula(3,'C-Vine',[1],[1 2 3],{'Clayton','Gumbel','Indep'},{1.2, 3,[]})
           VineCopulaObject = VineCopula(3,'C-Vine',[1],[1 2 3],[7, 11, 0],{1.2, 3,[]})
           VineCopulaObject = VineCopula(3,'C-Vine',1,[1 2 3],{'Clayton','Gumbel','Indep'},[1.2, 3])

References (for the examples):

Acar, E. F., C. Genest and J. Neslehová (2012), "Beyond simplified pair-copula constructions", Journal of Multivariate Analysis 110, pp. 74-90.