R/bvdist-cauchy2d.R

In fMultivar: Rmetrics - Modeling of Multivariate Financial Return Distributions

# This library is free software; you can redistribute it and/or
# modify it under the terms of the GNU Library General Public
# License as published by the Free Software Foundation; either
# version 2 of the License, or (at your option) any later version.
#
# This library is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
# GNU Library General Public License for more details.
#
# You should have received a copy of the GNU Library General
# Public License along with this library; if not, write to the
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA  02111-1307  USA


################################################################################
# FUNCTION:             BIVARIATE CAUCHY DISTRIBUTION:
#  pcauchy2d             Computes bivariate Cauchy probability function
#  dcauchy2d             Computes bivariate Cauchy density function
#  rcauchy2d             Generates bivariate Cauchy random deviates
################################################################################


pcauchy2d <- 
    function(x, y = x, rho = 0)
{   
    # A function Implemented by Diethelm Wuertz

    # Description:
    #   Computes bivariate Cauchy probability function

    # Arguments:
    #   x, y - two numeric values or vectors of the same length at
    #       which the probability will be computed.

    # Example:
    #   pt2d(rnorm(5), rnorm(5), 0.5, 5)

    # Value:
    #   returns a numeric vector of probabilities of the same length
    #   as the input vectors

    # FUNCTION:

    # Settings:
    # Probaility:
    ans <- pt2d(x = x, y = y, rho = rho, nu = 1)
    attr(ans, "control") = c(rho = rho)

    # Return Value:
    ans
}


# ------------------------------------------------------------------------------


dcauchy2d <- 
    function(x, y = x, rho = 0)
{   
    # A function implemented by Diethelm Wuertz

    # Arguments:
    #   n - number of random deviates to be generated
    #   rho - the linear correlation, a numeric value between
    #       minus one and one.

    # Description:
    #   Computes bivariate Cauchy density function

    # Note:
    #   Partly copied from contributed R package 'sn'

    # FUNCTION:

    # Density:
    density <- dt2d(x = x, y = y, rho = rho, nu = 1)
    attr(density, "control") <- c(rho = rho)

    # Return value:
    density
}


# ------------------------------------------------------------------------------


rcauchy2d =
    function(n, rho = 0)
{   
    # A function implemented by Diethelm Wuertz

    # Description:
    #   Generates bivariate Cauchy random deviates

    # Arguments:
    #   n - number of random deviates to be generated
    #   rho - the linear correlation, a numeric value between
    #       minus one and one.

    # Note:
    #   Partly copied from contributed R package 'mvtnorm'
    #   Author Friedrich Leisch

    # FUNCTION:

    # Random Deviates:
    ans <- rt2d(n = n, rho = rho, nu = 1)
    attr(ans, "control") <- c(rho = rho)

    # Return Value:
    ans
}


################################################################################