NewBEVAsyMixedModelCopula: Creates a bivariate asymmetric mixed model extreme value...

In SimCop: Simulate from Arbitrary Copulae

Description

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

Usage

NewBEVAsyMixedModelCopula(theta, phi)

Arguments

theta	real.
phi	real.

Details

The dependence function for this bivariate EV copula is

A(w) = φ w^3 + θ w^2 - (φ+θ) w + 1

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

• θ ≥ 0

• θ + 3 φ ≥ 0

• θ + φ ≤ 1

• θ + 2 φ ≤ 1

If φ = 0 we obtain the symmetric mixed model.

Value

A function that evaluates the bivariate asymmetric mixed model EV copula (with parameters φ and θ) 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

NewBEVMixedModelCopula

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