VineCopula (VineCopulaObject)

Constructor for objects of the VineCopula class


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. Neslehov√° (2012), "Beyond simplified pair-copula constructions", Journal of Multivariate Analysis 110, pp. 74-90.