search

tnagler / VineCopula

Statistical inference of vine copulas
88 stars 32 forks source link

familyset not working in RVineStructureSelect #71

Closed zhengkd95 closed 4 years ago

zhengkd95 commented 4 years ago

Hi, I am using VineCopula version 2.3.0. This issue can be produced with the example code related to RVineStructureSelect:

# load data set
data(daxreturns)
daxreturns <- daxreturns[1:250, 1:4]
RVM <- RVineStructureSelect(daxreturns, c(1:6), progress = TRUE)
summary(RVM)

And the following result is given from the summary:

tree     edge | family  cop   par  par2 |  tau   utd   ltd 
---------------------------------------------------------- 
   1      2,3 |      2    t  0.65  2.48 | 0.45  0.44  0.44
          1,2 |      2    t  0.61  3.55 | 0.42  0.35  0.35
          4,1 |     14   SG  1.62  0.00 | 0.38     -  0.46
   2    1,3;2 |      5    F  1.11  0.00 | 0.12     -     -
        4,2;1 |      4    G  1.22  0.00 | 0.18  0.24     -
   3  4,3;1,2 |      5    F  1.18  0.00 | 0.13     -     -
---
type: D-vine    logLik: 187.94    AIC: -359.87    BIC: -331.7    
---
1 <-> ALV.DE,   2 <-> BAS.DE,   3 <-> BAYN.DE,   4 <-> BMW.DE

Although the familyset is set as c(1:6), the selected families in the Rvine trees may contain others like 14.

zhengkd95 commented 4 years ago

Maybe this is because the rotated Gumbel copula (14) is considered as the same family of the Gumbel copula (4). So all the derived copula families are considered together with the original family here in the familyset?

zhengkd95 commented 4 years ago

Sorry for bothering with this issue already addressed in the readme. I have focused too much on the R document. Should have read this repo in the first place.