BiCopHfuncDeriv2: Second Derivatives of the h-Function of a Bivariate Copula

In VineCopula: Statistical Inference of Vine Copulas

Second Derivatives of the h-Function of a Bivariate Copula

Description

This function evaluates the second derivative of a given conditional parametric bivariate copula (h-function) with respect to its parameter(s) and/or its arguments.

Usage

BiCopHfuncDeriv2(
  u1,
  u2,
  family,
  par,
  par2 = 0,
  deriv = "par",
  obj = NULL,
  check.pars = TRUE
)

Arguments

u1, u2	numeric vectors of equal length with values in [0,1].
family	integer; single number or vector of size length(u1); defines the bivariate copula family: 0 = independence copula 1 = Gaussian copula 2 = Student t copula (t-copula) 3 = Clayton copula 4 = Gumbel copula 5 = Frank copula 6 = Joe copula 13 = rotated Clayton copula (180 degrees; ⁠survival Clayton'') \cr `14` = rotated Gumbel copula (180 degrees; ⁠survival Gumbel”) 16 = rotated Joe copula (180 degrees; “survival Joe”) 23 = rotated Clayton copula (90 degrees) '24' = rotated Gumbel copula (90 degrees) '26' = rotated Joe copula (90 degrees) '33' = rotated Clayton copula (270 degrees) '34' = rotated Gumbel copula (270 degrees) '36' = rotated Joe copula (270 degrees)
par	numeric; single number or vector of size length(u1); copula parameter.
par2	integer; single number or vector of size length(u1); second parameter for the t-Copula; default is par2 = 0, should be an positive integer for the Students's t copula family = 2.
deriv	Derivative argument "par" = second derivative with respect to the first parameter (default) "par2" = second derivative with respect to the second parameter (only available for the t-copula) "u2" = second derivative with respect to the second argument u2 "par1par2" = second derivative with respect to the first and second parameter (only available for the t-copula) "par1u2" = second derivative with respect to the first parameter and the second argument "par2u2" = second derivative with respect to the second parameter and the second argument (only available for the t-copula)
obj	BiCop object containing the family and parameter specification.
check.pars	logical; default is TRUE; if FALSE, checks for family/parameter-consistency are omitted (should only be used with care).

Details

If the family and parameter specification is stored in a BiCop() object obj, the alternative version

BiCopHfuncDeriv2(u1, u2, obj, deriv = "par")

can be used.

Value

A numeric vector of the second-order conditional bivariate copula derivative

• of the copula family

• with parameter(s) par, par2

• with respect to deriv

• evaluated at u1 and u2.

Author(s)

Ulf Schepsmeier, Jakob Stoeber

References

Schepsmeier, U. and J. Stoeber (2014). Derivatives and Fisher information of bivariate copulas. Statistical Papers, 55 (2), 525-542.
https://link.springer.com/article/10.1007/s00362-013-0498-x.

See Also

RVineGrad(), RVineHessian(), BiCopDeriv(), BiCopDeriv2(), BiCopHfuncDeriv(), BiCop()

Examples

## simulate from a bivariate Student-t copula
set.seed(123)
cop <- BiCop(family = 2, par = -0.7, par2 = 4)
simdata <- BiCopSim(100, cop)

## second derivative of the conditional bivariate t-copula
## with respect to the first parameter
u1 <- simdata[,1]
u2 <- simdata[,2]
BiCopHfuncDeriv2(u1, u2, cop, deriv = "par")

## estimate a Student-t copula for the simulated data
cop <- BiCopEst(u1, u2, family = 2)
## and evaluate the derivative of the conditional copula
## w.r.t. the second argument u2
BiCopHfuncDeriv2(u1, u2, cop, deriv = "u2")

VineCopula documentation built on Sept. 11, 2024, 5:26 p.m.