khoudrajiCopula-class | R Documentation |
"khoudrajiCopula"
and its SubclassesThe virtual class "asymCopula"
of (conceptually) all
asymmetric copulas and its ‘subclass’ "asym2copula"
of
those which are constructed from two copulas.
More specifically, the class "khoudrajiCopula"
and its two
subclasses "khoudrajiBivCopula"
and "khoudrajiExplicitCopula"
represent copulas constructed using Khoudraji's device from two copulas of
the same dimension; see khoudrajiCopula()
for more details.
Objects are typically created via khoudrajiCopula(...)
.
As these classes extend "copula"
, they have all
its slots: dimension
, parameters
, param.names
,
param.lowbnd
, param.upbnd
, and fullname
.
The classes "khoudrajiCopula"
and "khoudrajiBivCopula"
have the extra slots
copula1
:object of class "copula"
.
copula2
:second object of class "copula"
.
In addition to these, the class "khoudrajiExplicitCopula"
has the slots
exprdist
:an expression
, ...
derExprs1
:an expression
of length d
, ...
derExprs2
:an expression
of length d
, ...
When possible, methods are defined at the "khoudrajiCopula"
class level. The implementation of method dCopula
for
instance is however not possible at that level. In addition, it
differs for "khoudrajiBivCopula"
and
"khoudrajiExplicitCopula"
classes.
Genest, C., Ghoudi, K., and Rivest, L.-P. (1998), Discussion of "Understanding relationships using copulas", by Frees, E., and Valdez, E., North American Actuarial Journal 3, 143–149.
Khoudraji, A. (1995), Contributions à l'étude des copules et àla modélisation des valeurs extrêmes bivariées, PhD thesis, Université Laval, Québec, Canada.
Liebscher, E. (2008), Construction of asymmetric multivariate copulas, Journal of Multivariate Analysis 99, 2234–2250.
khoudrajiCopula()
showClass("khoudrajiCopula")# two subclasses
## all methods applicable to these subclasses:
(meths <- sapply(names(getClass("khoudrajiCopula")@subclasses),
function(CL) methods(class = CL),
simplify=FALSE))
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