Factor Copula Models

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Documentation for package ‘FactorCopulaModel’ version 0.1.0

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bb1_cpar2td BB1 copula parameter (theta,delta) to tail dependence parameters
bb1_tau2eqtd BB1, given 0<tau<1, find theta and delta with lower tail dependence equal upper tail dependence
bb1_td2cpar BB1 tail dependence parameters to copula parameter (theta,delta)
bifactor2cor Bi-factor partial correlations to correlation matrix
bifactor2cor_v2 Bi-factor partial correlations to correlation matrix version 2, using the inverse and determinant of a smaller matrix
bifactorcop_nllk negative log-likelihood of bi-factor structured factor copula and derivatives computed in f90 for input to posDefHessMinb
bifactorEstWithProxy Sequential parameter estimation for bi-factor copula with estimated latent variables using VineCopula::BiCopSelect
bifactorScore Proxies for bi-factor copula model based on Gaussian bi-factor score
bifactor_fa Gaussian bi-factor structure correlation matrix
bifactor_nllk log-likelihood Gaussian bi-factor structure correlation matrix
bvnSemiCor Semi-correlation for bivariate normal/Gaussian distribution
bvn_cpar2tau Kendall's tau for bivariate normal
corDis Discrepancy of model-based and observed correlation matrices based on Gaussian log-likelihood
corvec2mat Convert from correlations in vector form to a correlation matrix
cparBounds lower and upper bounds for copula parameters (1-parameter, 2-parameter families)
d1factcop Integrand for 1-factor copula with 1-parameter bivariate linking copula families; or for m-parameter bivariate linking copulas
dateindex GARCH-filtered log returns for Dow Jones stocks 2014-2016
dj1416gf GARCH-filtered log returns for Dow Jones stocks 2014-2016
DJ20142016gf GARCH-filtered log returns for Dow Jones stocks 2014-2016
euro07 log returns and GARCH-filtered log returns for some Euro markets 2007
euro07gf log returns and GARCH-filtered log returns for some Euro markets 2007
euro07names log returns and GARCH-filtered log returns for some Euro markets 2007
factor1trvine_nllk negative log-likelihood with gradient and Hessian computed in f90 for copula from 1-factor/1-truncated vine (tree for residual dependence conditional on a latent variable); models included are BB1 for latent with Frank or Gaussian(bvncop) for truncated vine residual dependence
frank_beta2cpar Frank: Blomqvist's beta to copula parameter
frank_rhoS2cpar Frank: Spearman rho to copula parameter
gauss1f1t Compute correlation matrix according to 1-factor + 1-truncated vine (residual dependence) model
gaussLegendre R interface for Gauss-Legendre quadrature
gumbel_beta2cpar Gumbel: Blomqvist's beta to copula parameter
gumbel_rhoS2cpar Gumbel: Spearman rho to copula parameter
isPosDef Check if a square symmetric matrix is positive definite
lab GARCH-filtered log returns for Dow Jones stocks 2014-2016
latentUpdate1factor Compute new proxies for 1-factor copula based on the mean of observations
latentUpdate1factor1 Compute new proxies for 1-factor copula based on the mean of observations
latentUpdateBifactor Conditional expectation proxies for bi-factor copula models with linking copulas in different copula families
ml1factor max likelihood (min negative log-likelihood) for 1-factor copula model
ml1factor_f90 min negative log-likelihood for 1-factor copula with nlm()
ml1factor_v2 min negative log-likelihood for 1-factor copula model (some parameters can be fixed)
mvtBifact MLE for multivariate normal/t with a bi-factor or nested factor correlation structure
mvtBifact_nllk negative log-likelihood for the bi-factor Gaussian/t model
mvtPfact MLE in a MVt model with a p-factor correlation structure
mvtPfact_nllk negative log-likelihood for the p-factor Gaussian/t model
nestfactorcop_nllk negative log-likelihoods of nested factor structured factor copula and derivatives computed in f90 for input to posDefHessMinb
nscore Rank-based normal scores transform
oblique_fa Gaussian oblique factor structure correlation matrix
oblique_grad_fa Gaussian oblique factor structure correlation matrix
oblique_grad_nllk log-likelihood Gaussian oblique factor structure correlation matrix
oblique_nllk log-likelihood Gaussian oblique factor structure correlation matrix
oblique_par2load oblique factor correlation structure for d variables and m groups
oblique_pp_par2load oblique factor correlation structure for d variables and m groups include determinant and inverse
onefactorcop_nllk negative log-likelihood of 1-factor copula for input to posDefHessMin and posDefHessMinb
onefactorEstWithProxy Parameter estimation for 1-factor copula with estimated latent variables using VineCopula::BiCopSeelct
pcor2load Partial correlation representation to loadings for p-factor
pfactor_fa Gaussian p-factor structure correlation matrix
pfactor_nllk log-likelihood Gaussian p-factor structure correlation matrix
posDefHessMin Minimization with modified Newton-Raphson iterations, Hessian is modified to be positive definite at each step. Algorithm and code produced by Pavel Krupskii (2013) see PhD thesis Krupskii (2014), UBC and Section 6.2 of # Joe (2014) Dependence Models with Copulas. Chapman&Hall/CRC
posDefHessMinb Version with ifixed as argument
qcondbvtcop C_[2|1]^[-1](p|u) for bivariate Student t copula
qcondFrank C_[2|1]^[-1](p|u) for bivariate Frank copula
r1factor simulate from 1-factor copula model with different linking copula families
rainstorm Precipitation by rainstorm at 28 stations
rbifactor simulate from bi-factor copula model
residDep correlation matrix for 1-factor plus 1-truncated vine (for residual dependence)
rhoS Spearman's rho for bivariate copula with parameter cpar
rmvn Random multivariate normal (standard N(0,1) margins)
rmvt Random multivariate t (standard t(nu) margins)
rnestfactor Simulate data from nested copula or Gaussian model
RVtrunc2cor compute correlation matrix from 2-truncated R-vine
semiCor Semi-correlations for two variables
semiCorTable Semi-correlation table for a multivariate data set
tailDep Tail dependence parameter estimation
uscore Rank-based uniform scores transform
zetaDep Empirical version of zeta(alpha) tail-weighted dependence measure
zetaDepC Upper Tail-weighted dependence measure zeta(C,alpha)
zetaPlot Plot zeta(alpha) against alpha