Description Usage Arguments Details Value Author(s) See Also
Creates an instance of the bivariate asymmetric mixed model extreme value copula with parameters φ and θ.
1 | NewBEVAsyMixedModelCopula(theta, phi)
|
theta |
real. |
phi |
real. |
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.
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.
Berwin A. Turlach <berwin.turlach@gmail.com>
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