BiCopParamDistLp: Compute the distance between 2 parametric copulas

Description Usage Arguments Value Examples

View source: R/BiCopParamDistLp.R

Description

This function uses the numerical integration procedure cubature::hcubature() to numerical integrate the distance between the distribution or between the densities of two bivariate copulas.

Usage

 1
 2
 3
 4
 5
 6
 7
 8
 9
10
11
BiCopParamDistLp(
  family,
  par,
  par_p,
  par2 = par,
  par2_p = par_p,
  family_p = family,
  p,
  type,
  maxEval = 0
)

Arguments

family

family of the first copula.

par

first parameter of the first copula.

par_p

first parameter of the second copula.

par2

second parameter of the first copula (only useful for two-parameter families of copulas).

par2_p

second parameter of the first copula (only useful for two-parameter families of copulas).

family_p

family of the second copula.

p

determines the L_p distance that is used.

type

type of the functions considered. Can be cdf for the distance between the two cumulative distribution functions or pdf for the distance between the two probability density functions.

maxEval

maximum number of evaluation of the function be integrated. If 0, then no maximum limit is given.

Value

a list of four items

Examples

 1
 2
 3
 4
 5
 6
 7
 8
 9
10
11
12
13
14
# Distance between the densities of a Gaussian copula with correlation 0.5
# and a Gaussian copula with correlation 0.2
BiCopParamDistLp(family = 1, par = 0.5, par_p = 0.2, p = 2, type = "cdf", maxEval = 10)

# Distance between the cdf of a Student copula
# with correlation 0.5 and 4 degrees of freedom
# and a Student copula with the same correlation but 20 degrees of freedom
BiCopParamDistLp(family = 2, par = 0.5, par_p = 0.5,
par2 = 5, par2_p = 20, p = 2, type = "pdf", maxEval = 10)

# Distance between the densities of a Gaussian copula with correlation 0.5
# and of a Student copula with correlation 0.5 and 15 degrees of freedom
BiCopParamDistLp(family = 1, par = 0.5, par_p = 0.5, par2_p = 15,
family_p = 2, p = 2, type = "pdf", maxEval = 10)

MMDCopula documentation built on Aug. 10, 2021, 9:07 a.m.