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Revision 161411bb86f97e5a8bd89091cd61d03a33c2761a authored by Martin Maechler on 06 February 2012, 00:00:00 UTC, committed by Gabor Csardi on 06 February 2012, 00:00:00 UTC
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Tip revision: 161411bb86f97e5a8bd89091cd61d03a33c2761a authored by Martin Maechler on 06 February 2012, 00:00:00 UTC
version 0.8-0
Tip revision: 161411b
\title{Constructing (Outer) Nested Archimedean Copulas}
  Constructing (outer) nested Archimedean copulas (class
  \code{\linkS4class{outer_nacopula}}) is most conveniently done via
  \code{onacopula()}, using a nested \eqn{C(...)} notation.

  Slightly less conveniently, but with the option to pass a \code{\link{list}}
  structure, \code{onacopulaL()} can be used, typically from inside
  another function programmatically.
%onacopula (family, nacStructure, envir=environment())
onacopula (family, nacStructure)
onacopulaL(family, nacList)
  \item{family}{either a \code{\link{character}} string, the short
    or longer form of the Archimedean family name (for example,
    "Clayton" or simply "C"); see the \code{\link{acopula-families}}
    documentation, or an \code{\linkS4class{acopula}} family object.}
  \item{nacStructure}{a \dQuote{formula} of the form
    \deqn{C(\theta, c(i_1,\dots,i_c), list(C(..), ..., C(..))).}{%
      C(th, c(i1,..ic), list(C(..), ..., C(..))).}
    Note that \eqn{C()} has (maximally) three arguments: the first is
    the copula parameter (vector) \eqn{\theta}{theta}, the second a
    (possibly empty) vector of integer indices of components (for the
    \code{comp} slot in \code{\linkS4class{nacopula}}s), and finally a
    (possibly empty) list of child copulas, each specified with in the
    \eqn{C(..)} notation themselves.}
  % \item{envir}{the \code{\link{environment}} in which the
  %   \code{nacStructure} \dQuote{formula} is evaluated.}
  \item{nacList}{a \code{\link{list}} of length 3 (or 2), with elements
      \item theta: \eqn{\theta}
      \item \code{comp}: components \eqn{c(i_1,\dots,i_c)}{c(i1,..ic)}
      \item \code{children}: a \link{list} which must be a
      \code{nacList} itself and may be missing to denote the empty
  An outer nested Archimedean copula object, that is, of class
\author{Martin Maechler}
  The class definitions \code{"\linkS4class{nacopula}"},
  \code{"\linkS4class{outer_nacopula}"}, and \code{"\linkS4class{acopula}"}.
  Those of the Archimedean families, for example, \code{\link{copGumbel}}.
## Construct a ten-dimensional Joe copula with parameter such that
## Kendall's tau equals 0.5
theta <- copJoe@tauInv(0.5)
C10 <- onacopula("J",C(theta,1:10))

## Equivalent construction with onacopulaL():
C10. <- onacopulaL("J",list(theta,1:10))
stopifnot(identical(C10, C10.))

## Construct a three-dimensional nested Gumbel copula with parameters
## such that Kendall's tau of the respective bivariate margins are 0.2
## and 0.5.
theta0 <- copGumbel@tauInv(.2)
theta1 <- copGumbel@tauInv(.5)
C3 <- onacopula("G", C(theta0, 1, C(theta1, c(2,3))))

## Equivalent construction with onacopulaL():
str(NAlis <- list(theta0, 1, list(list(theta1, c(2,3)))))
C3. <- onacopulaL("Gumbel", NAlis)
stopifnot(identical(C3, C3.))

## Good error message if the component ("coordinate") indices are wrong
## or do not match:
err <- try(onacopula("G", C(theta0, 2, C(theta1, c(3,2)))))

## Compute the probability of falling in [0,.01]^3 for this copula
pnacopula(C3, rep(.01,3))

## Compute the probability of falling in the cube [.99,1]^3
prob(C3, rep(.99, 3), rep(1, 3))
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