NewBEVMixedModelCopula: Creates a bivariate mixed model extreme value copula

In SimCop: Simulate from Arbitrary Copulae

Creates a bivariate mixed model extreme value copula

Description

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

Usage

NewBEVMixedModelCopula(theta)

Arguments

theta

real.

Details

The dependence function for this bivariate EV copula is

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

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

• 0 \le \theta \le 1

Value

A function that evaluates the bivariate asymmetric mixed model EV copula (with parameter \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

NewBEVAsyMixedModelCopula

SimCop documentation built on April 13, 2025, 5:09 p.m.