View source: R/BiCopParamDistLp.R
BiCopParamDistLp | R Documentation |
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.
BiCopParamDistLp( family, par, par_p, par2 = par, par2_p = par_p, family_p = family, p, type, maxEval = 0, truncVal = 0 )
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 |
maxEval |
maximum number of evaluation of the function to be integrated.
If 0, then no maximum limit is given. (Only used if |
truncVal |
the distance is computed using the supremum or the integral of the function on [truncVal, 1 - truncVal]^2. |
If p < Inf
, it returns a list of four items
distance
the value of the distance
integral
the value of the integral, which is
the p-th power of the distance.
error
the estimated relative error of the integral
returnCode
the integer return code of the C routine
called by cubature::hcubature()
.
This should be 0 if there is no error.
If p = Inf
, it returns a list of two items
distance
the maximum difference between the two copulas
(respectively, between the two copula densities).
u_max
the point at which this difference is attained.
# 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) BiCopParamDistLp(family = 1, par = 0.5, par_p = 0.2, p = Inf, type = "cdf") # 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)
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