ExtremeValueDependency: Bivariate Extreme Value Copulae

In fCopulae: Rmetrics - Bivariate Dependence Structures with Copulae

Bivariate Extreme Value Copulae

Description

A collection and description of functions to investigate bivariate extreme value copulae.

Extreme Value Copulae Functions:

evTau	Computes Kendall's tau for extreme value copulae,
evRho	computes Spearman's rho for extreme value copulae,
evTailCoeff	computes tail dependence for extreme value copulae,
evTailCoeffSlider	plots tail dependence for extreme value copulae.

Usage

evTau(param = NULL, type = evList(), alternative = FALSE)
evRho(param = NULL, type = evList(), alternative = FALSE)
    
evTailCoeff(param = NULL, type = evList())
evTailCoeffSlider(B = 10)

Arguments

alternative	[evRho][evTau][*evCopula] - Should the probability be computed alternatively in a direct way from the probability formula or by default via the dependency function?
B	[*Slider] - the maximum slider menu value when the boundary value is infinite. By default this is set to 10.

param	[*ev*][A*] - distribution and copulae parameters. A numeric value or vector of named parameters as required by the copula specified by the variable type. If set to NULL, then the default parameters will be taken.
type	[*ev*][Afunc] - the type of the extreme value copula. A character string selected from: "gumbel", "galambos", "husler.reiss", "tawn", or "bb5". [evSlider] - a character string specifying the plot type. Either a perspective plot which is the default or a contour plot with an underlying image plot will be created.

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.

Examples

## fCOPULA -
   getClass("fCOPULA")
   getSlots("fCOPULA")
   
## revCopula -
   # Not yet implemented
   # revCopula(n = 10, type = "galambos")
   
## pevCopula -
   pevCopula(u = grid2d(), type = "galambos", output = "list")
   
## devCopula -
   devCopula(u = grid2d(), type = "galambos", output = "list")
   
## AfuncSlider -
   # Generator, try:
   ## Not run: AfuncSlider()

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