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

In SimCop: Simulate from Arbitrary Copulae

Creates a bivariate asymmetric mixed model extreme value copula

Description

Creates an instance of the bivariate asymmetric mixed model extreme value copula with parameters \phi and \theta.

Usage

NewBEVAsyMixedModelCopula(theta, phi)

Arguments

theta	real.
phi	real.

Details

The dependence function for this bivariate EV copula is

A(w) = \phi w^3 + \theta w^2 - (\phi+\theta) w + 1

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

• \theta \ge 0

• \theta + 3 \phi \ge 0

• \theta + \phi \le 1

• \theta + 2 \phi \le 1

If \phi = 0 we obtain the symmetric mixed model.

Value

A function that evaluates the bivariate asymmetric mixed model EV copula (with parameters \phi and \theta) 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 April 13, 2025, 5:09 p.m.