NewMEVAsyLogisticCopula: Creates a multivariate asymmetric logistic copula

Description Usage Arguments Details Value Author(s) See Also Examples

View source: R/NewMEVAsyLogisticCopula.R

Description

Creates an instance of the multivariate asymmetric copula with parameters θ and r.

Usage

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Arguments

theta

a k x d matrix of reals.

r

a vector of k reals

Details

If theta has entries θ_{ij} and r has entries r_j (i=1,…,k and j=1,…,d), then the following parameterisation of the copula is used:

C(u_1,…,u_d) = exp(- ∑_i { ∑_j (θ_{ij} v_j)^{r_i} }^{1/r_i} )

where v_j = -log(u_j), j=1,…,d.

Necessary and sufficient conditions for the parameters are

Value

A function that evaluates the multivariate asymmetric logistic copula (with parameters θ and r) at a given d-dimensional vector in the unit square. Note that for this function the dimension of vectors at which the copula can be evaluated is determined by the input parameters. The environment of the function also contains a function called pdfCopula that evaluates the probability density function of the multivariate asymmetric logistic copula via automatic differentation.

Author(s)

Berwin A. Turlach <[email protected]>

See Also

NewBEVAsyLogisticCopula, NewMEVGumbelCopula

Examples

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theta <-  rbind(c(0, 0.2, 0.8), c(1,0.8,0.2))
r <- c(2,3)
cop <- NewMEVAsyLogisticCopula(theta, r)

## Creates the same copula
theta <- 0.2
phi <- 0.4
r <- 2
cop1 <- NewBEVAsyLogisticCopula(r, theta, phi)
theta <- cbind(c(phi, 1-phi, 0), c(theta, 0, 1-theta))
r <- c(r, 1,  1)
cop2 <- NewMEVAsyLogisticCopula(theta, r)

SimCop documentation built on Dec. 23, 2017, 5:38 p.m.