ddCopula: Partial Derivatives of Copulas

In VC2copula: Extend the 'copula' Package with Families and Models from 'VineCopula'

Partial Derivatives of Copulas

Description

Similar to dCopula() and pCopula() the function dduCopula evaluates the partial derivative \frac{\partial}{\partial u} C(u,v) and the function ddvCopula evaluates the partial derivative \frac{\partial}{\partial v} C(u,v) of the provided copula.

Usage

dduCopula(u, copula, ...)

## S4 method for signature 'matrix,normalCopula'
dduCopula(u, copula)

## S4 method for signature 'numeric,normalCopula'
dduCopula(u, copula, ...)

## S4 method for signature 'matrix,normalCopula'
ddvCopula(u, copula)

## S4 method for signature 'numeric,normalCopula'
ddvCopula(u, copula, ...)

## S4 method for signature 'matrix,tCopula'
dduCopula(u, copula)

## S4 method for signature 'numeric,tCopula'
dduCopula(u, copula, ...)

## S4 method for signature 'matrix,tCopula'
ddvCopula(u, copula)

## S4 method for signature 'numeric,tCopula'
ddvCopula(u, copula, ...)

## S4 method for signature 'matrix,gumbelCopula'
dduCopula(u, copula)

## S4 method for signature 'numeric,gumbelCopula'
dduCopula(u, copula, ...)

## S4 method for signature 'matrix,gumbelCopula'
ddvCopula(u, copula)

## S4 method for signature 'numeric,gumbelCopula'
ddvCopula(u, copula, ...)

## S4 method for signature 'matrix,claytonCopula'
dduCopula(u, copula)

## S4 method for signature 'numeric,claytonCopula'
dduCopula(u, copula, ...)

## S4 method for signature 'matrix,claytonCopula'
ddvCopula(u, copula)

## S4 method for signature 'numeric,claytonCopula'
ddvCopula(u, copula, ...)

## S4 method for signature 'matrix,indepCopula'
dduCopula(u, copula)

## S4 method for signature 'numeric,indepCopula'
dduCopula(u, copula, ...)

## S4 method for signature 'matrix,indepCopula'
ddvCopula(u, copula)

## S4 method for signature 'numeric,indepCopula'
ddvCopula(u, copula, ...)

## S4 method for signature 'matrix,frankCopula'
dduCopula(u, copula)

## S4 method for signature 'numeric,frankCopula'
dduCopula(u, copula, ...)

## S4 method for signature 'matrix,frankCopula'
ddvCopula(u, copula)

## S4 method for signature 'numeric,frankCopula'
ddvCopula(u, copula, ...)

Arguments

u	Pairs of values for which the partial derivative should be evaluated.
copula	The copula object representing the family member of interest.
...	additional arguments can be passed on to the underlying functions.

Value

A vector of the evaluated partial derivatives of the same length as rows in u.

Examples

library(copula)

BB1Cop <- BB1Copula()
BB1CopSmpl <- rCopula(100, BB1Cop)

# conditional probabilities of a Gaussian copula given u
BB1GivenU <- dduCopula(BB1CopSmpl, BB1Cop)

# vs. conditional probabilities of a Gaussian copula given v
BB1GivenV <- ddvCopula(BB1CopSmpl[, c(2, 1)], BB1Cop)

plot(BB1GivenU, BB1GivenV)
abline(0, 1)

VC2copula documentation built on May 29, 2024, 3:15 a.m.