Truncate a vine copula model — truncate

Extracts a truncated sub-vine based on a truncation level supplied by user.

truncate_model(object, ...)

# S3 method for rvine_structure
truncate_model(object, trunc_lvl, ...)

# S3 method for rvine_matrix
truncate_model(object, trunc_lvl, ...)

# S3 method for vinecop_dist
truncate_model(object, trunc_lvl, ...)

# S3 method for vine_dist
truncate_model(object, trunc_lvl, ...)

Arguments

object: a model object.
...: further arguments passed to specific methods.
trunc_lvl: tree level after which the vine copula should be truncated.

Details

While a vine model for a d dimensional random vector contains at most d-1 nested trees, this function extracts a sub-model based on a given truncation level.

For instance, truncate_model(object, 1) results in a 1-truncated vine (i.e., a vine with a single tree). Similarly truncate_model(object, 2) results in a 2-truncated vine (i.e., a vine with two trees). Note that truncate_model(truncate_model(object, 1), 2) returns a 1-truncated vine.

Examples

# specify pair-copulas
bicop <- bicop_dist("bb1", 90, c(3, 2))
pcs <- list(
  list(bicop, bicop), # pair-copulas in first tree
  list(bicop) # pair-copulas in second tree
)

# specify R-vine matrix
mat <- matrix(c(1, 2, 3, 1, 2, 0, 1, 0, 0), 3, 3)

# set up vine structure
structure <- as_rvine_structure(mat)

# truncate the model
truncate_model(structure, 1)
#> 3-dimensional R-vine structure ('rvine_structure'), 1-truncated
#> 1 1 1
#>   2  
#> 3    

# set up vine copula model
vc <- vinecop_dist(pcs, mat)

# truncate the model
truncate_model(vc, 1)
#> 3-dimensional vine copula model ('vinecop_dist'), 1-truncated