NewBEVSplineCopula: Creates a flexible extreme value copula

In SimCop: Simulate from Arbitrary Copulae

Creates a flexible extreme value copula

Description

Creates a bivariate extreme value copula from a spline estimate of its dependence function.

Usage

NewBEVSplineCopula(spl)

Arguments

spl	a spline function.

Value

A function that evaluates the bivariate EV copula (whose dependence function is given by the spline) 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

SplineFitDepFct

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