NewBEVAsyLogisticCopula: Creates a bivariate asymmetric logistic model extreme value...

In SimCop: Simulate from Arbitrary Copulae

Description

Creates an instance of the bivariate asymmetric logistic model extreme value copula with parameters r, θ and φ.

Usage

NewBEVAsyLogisticCopula(r, theta, phi)

Arguments

r	real.
theta	real.
phi	real.

Details

The dependence function for this bivariate EV copula is

A(w) = (θ (1-w)^r + (φ w)^r)^{1/r} + (θ - φ) w + 1 - θ

Necessary and sufficient conditions for the dependence function to be valid are

• r ≥ 1

• 0 ≤ θ ≤ 0

• 0 ≤ φ ≤ 1

For θ = φ = 1 this model reduces to the symmetric logistic model.

Value

A function that evaluates the bivariate asymmetric logistic model EV copula (with parameters r, θ and phi) at a given 2-dimensional vector in the unit square. The environment of the function also contains a function called pdfCopula that evaluates the probability density function of the bivariate asymmetric mixed model EV copula via automatic differentation.

Author(s)

Berwin A. Turlach <[e-mail]>

See Also

NewBEVLogisticCopula, NewMEVAsyLogisticCopula

SimCop documentation built on May 2, 2019, 12:34 p.m.