BiCopCDF: Distribution function of a bivariate copula

In CDVine: Statistical Inference of C- And D-Vine Copulas

Description

This function evaluates the cumulative distribution function (CDF) of a given parametric bivariate copula.

Usage

BiCopCDF(u1, u2, family, par, par2=0)

Arguments

u1,u2	Numeric vectors of equal length with values in [0,1].
family	An integer defining the bivariate copula family: 0 = independence copula 1 = Gaussian copula 2 = Student t copula (t-copula) 3 = Clayton copula 4 = Gumbel copula 5 = Frank copula 6 = Joe copula 7 = BB1 copula 8 = BB6 copula 9 = BB7 copula 10 = BB8 copula 13 = rotated Clayton copula (180 degrees; “survival Clayton”) 14 = rotated Gumbel copula (180 degrees; “survival Gumbel”) 16 = rotated Joe copula (180 degrees; “survival Joe”) 17 = rotated BB1 copula (180 degrees; “survival BB1”) 18 = rotated BB6 copula (180 degrees; “survival BB6”) 19 = rotated BB7 copula (180 degrees; “survival BB7”) 20 = rotated BB8 copula (180 degrees; “survival BB8”) 23 = rotated Clayton copula (90 degrees) 24 = rotated Gumbel copula (90 degrees) 26 = rotated Joe copula (90 degrees) 27 = rotated BB1 copula (90 degrees) 28 = rotated BB6 copula (90 degrees) 29 = rotated BB7 copula (90 degrees) 30 = rotated BB8 copula (90 degrees) 33 = rotated Clayton copula (270 degrees) 34 = rotated Gumbel copula (270 degrees) 36 = rotated Joe copula (270 degrees) 37 = rotated BB1 copula (270 degrees) 38 = rotated BB6 copula (270 degrees) 39 = rotated BB7 copula (270 degrees) 40 = rotated BB8 copula (270 degrees)
par	Copula parameter.
par2	Second parameter for bivariate copulas with two parameters (t, BB1, BB6, BB7, BB8; default: par2 = 0).

Value

A numeric vector of the bivariate copula distribution function evaluated at u1 and u2.

Author(s)

Eike Brechmann

See Also

BiCopPDF, BiCopHfunc, BiCopSim

Examples

# simulate from a bivariate t-copula
simdata = BiCopSim(300,2,-0.7,par2=4)

# evaluate the distribution function of the bivariate t-copula
u1 = simdata[,1]
u2 = simdata[,2]
BiCopCDF(u1,u2,2,-0.7,par2=4)

CDVine documentation built on May 2, 2019, 9:28 a.m.