Skip to content

Copula package - normalCopula() param order

2 messages · Lucas Holland, Martin Maechler

Original
Lucas Holland
# 
Hey all,

I'm trying to construct a 7-dimensional normal copula using the copula package. I'd like to supply as parameter a randomly generated correlation matrix (that I'll convert to a vector so I can feed it to the normalCopula function). What order do the pairwise correlations inside that vector have to be in? In other words: What does the normalCopula function "expect"? 

Thanks!
2 days later
Martin Maechler
# 
> Hey all,
    > I'm trying to construct a 7-dimensional normal copula using the copula package. I'd like to supply as parameter a randomly generated correlation matrix (that I'll convert to a vector so I can feed it to the normalCopula function). What order do the pairwise correlations inside that vector have to be in? In other words: What does the normalCopula function "expect"? 

The lower triangular part of the matrix.
More specifically,

If  
    P <- cor(X)

it is

   P[lower.tri(P)]


The next version of the copula package will have a utility
function, (at least semantically) equivalent to

   P2p <- function(P) P[lower.tri(P)]

for this purpose, and another one,  p2P()  for the other way
around.

Best regards,
Martin Maechler, ETH Zurich