acR: Distribution of the Radial Part of an Archimedean Copula

acRR Documentation

Distribution of the Radial Part of an Archimedean Copula

Description

pacR() computes the distribution function F_R of the radial part of an Archimedean copula, given by

F_R(x)=1-sum(k=0,...,d-1) (-x)^k psi^{(k)}(x)/k!, u in [0,Inf)

The formula (in a slightly more general form) is given by McNeil and G. Nešlehová (2009).

qacR() computes the quantile function of F_R.

Usage

pacR(x, family, theta, d, lower.tail = TRUE, log.p = FALSE, ...)
qacR(p, family, theta, d, log.p = FALSE, interval,
     tol = .Machine$double.eps^0.25, maxiter = 1000, ...)

Arguments

x

numeric vector of nonnegative evaluation points for F_R.

p

numeric vector of evaluation points of the quantile function.

family

Archimedean family.

theta

parameter theta.

d

dimension d.

lower.tail

logical; if TRUE, probabilities are P[X <= x] otherwise, P[X > x].

log.p

logical; if TRUE, probabilities p are given as log(p).

interval

root-search interval.

tol

see uniroot().

maxiter

see uniroot().

...

additional arguments passed to the procedure for computing derivatives.

Value

The distribution function of the radial part evaluated at x, or its inverse, the quantile at p.

References

McNeil, A. J., G. Nešlehová, J. (2009). Multivariate Archimedean copulas, d-monotone functions and l_1-norm symmetric distributions. The Annals of Statistics 37(5b), 3059–3097.

Examples

## setup
family <- "Gumbel"
tau <- 0.5
m <- 256
dmax <- 20
x <- seq(0, 20, length.out=m)

## compute and plot pacR() for various d's
y <- vapply(1:dmax, function(d)
            pacR(x, family=family, theta=iTau(archmCopula(family), tau), d=d),
            rep(NA_real_, m))
plot(x, y[,1], type="l", ylim=c(0,1),
     xlab = quote(italic(x)), ylab = quote(F[R](x)),
     main = substitute(italic(F[R](x))~~ "for" ~ d==1:.D, list(.D = dmax)))
for(k in 2:dmax) lines(x, y[,k])

copula documentation built on June 15, 2022, 5:07 p.m.