dDiag | R Documentation |
Evaluate the density of the diagonal of a d
-dimensional (nested)
Archimedean copula. Note that the diagonal of a copula is a cumulative
distribution function. Currently, only Archimedean copulas are implemented.
dDiag(u, cop, log=FALSE)
u |
a numeric vector of evaluation points. |
cop |
a (nested) Archimedean copula object of class
|
log |
logical indicating if the |
A numeric
vector containing the values of the density of the
diagonal of the Archimedean copula at u
.
Hofert, M., Mächler, M., and McNeil, A. J. (2013). Archimedean Copulas in High Dimensions: Estimators and Numerical Challenges Motivated by Financial Applications. Journal de la Société Française de Statistique 154(1), 25–63.
acopula
class, dnacopula
.
th. <- c(0.1, 0.2, 0.5, 0.8, 1.4, 2., 5.)
curve(dDiag(x, cop=onacopulaL("Clayton", list(th.[1], 1:3))), 0, 1,
n=1000, ylab="dDiag(x, *)", main="Diagonal densities of Clayton")
abline(h=0, lty=3)
for(j in 2:length(th.))
curve(dDiag(x, cop=onacopulaL("Clayton", list(th.[j], 1:3))), add=TRUE,
col=j, n=1000)
legend("topleft", do.call(expression, lapply(th., function(th)
substitute(theta == TH, list(TH=th)))),
lty = 1, col=seq_along(th.), bty="n")
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