ExtremeValueModelling: 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:

evCopulaSim	simulates an extreme value copula,
evCopulaFit	fits the parameters of an extreme value copula.

Usage

evCopulaSim(n, param = NULL,  type = evList())
evCopulaFit(u, v = NULL, type = evList(), ...)

Arguments

n	[revCopula][evCopulaSim] - the number of random deviates to be generated, an integer value.
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.
u, v	[*evCopula][*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.
...	[evCopulaFit] - arguments passed to the optimization function 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.

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.