ArchimedeanModelling: Bivariate Archimedean Copulae

In fCopulae: Rmetrics - Bivariate Dependence Structures with Copulae

Bivariate Archimedean Copulae

Description

A collection and description of functions to investigate bivariate Archimedean copulae.

Archimedean Copulae Functions:

archmCopulaSim	simulates an Archimedean copula,
archmCopulaFit	fits the parameters of an Archimedean copula.

Usage

archmCopulaSim(n, alpha = NULL, type = archmList())
archmCopulaFit(u, v = NULL, type = archmList(), ...)

Arguments

alpha	[Phi*][*archmCopula] - the parameter of the Archemedean copula. A numerical value.
n	[rarchmCopula] - the number of random deviates to be generated, an integer value.
type	the type of the Archimedean copula. A character string ranging beween "1" and "22". By default copula No. 1 will be chosen.
u, v	[*archmCopula] - two numeric values or vectors of the same length at which the copula will be computed. If u is a list then the the \$x and \$y elements will be used as u and v. If u is a two column matrix then the first column will be used as u and the the second as v.
...	[archmCopulaFit] - arguments passed to the optimization function in use, nlminb.

Value

The function pcopula returns a numeric matrix of probabilities computed at grid positions x|y.

The function parchmCopula returns a numeric matrix with values computed for the Archemedean copula.

The function darchmCopula returns a numeric matrix with values computed for thedensity of the Archemedean copula.

The functions Phi* return a numeric vector with the values computed from the Archemedean generator, its derivatives, or its inverse.

The functions cK and cKInv return a numeric vector with the values of the density and inverse for Archimedian copulae.

Author(s)

Diethelm Wuertz for the Rmetrics R-port.

fCopulae documentation built on Jan. 8, 2023, 1:10 a.m.