pickands.liouv: Pickands dependence function for the copula domain of...

In lcopula: Liouville Copulas

Pickands dependence function for the copula domain of attraction of Liouville survival copulas

Description

Pickands dependence function as in Belzile (2014), Proposition 40 and Example 4 and Belzile (2014), Proposition 41, assuming that the parameter alpha is integer-valued. Returns the Pickands dependence function of the copula domain of attraction (CDA) of the survival copula, the scaled Dirichlet extreme value model, or the CDA of the copula, the Liouville EV model.

Usage

pickands.liouv(t, rho = 0.5, alpha = c(1, 1), CDA = c("C", "S"))

Arguments

t	pseudo-angle in (0,1)
rho	index of regular variation parameter
alpha	vector of Dirichlet allocations. Currently must be of length 2
CDA	select the extremal attractor of the copula (C) or the survival copula (S)

Value

value of Pickands function for the scaled Dirichlet EV model

Examples

pickands.liouv(seq(0,1,by=0.01),1,c(0.1,0.3),CDA="S")
pickands.liouv(t = seq(0,1,by=0.01), rho = 0.5, alpha = c(1,3), CDA="C")

lcopula documentation built on April 21, 2023, 9:07 a.m.