curve.funct: Creates extreme level curves for copulae

In mobirep: Models Bivariate Dependence and Produces Bivariate Return Periods

Description

The function creates extreme level curves for copulae. The function divides the 2D space into 3 subspaces to model level curves with extreme low probability 'pobj' (<0.001). Two types of level curves can be modeled: conditional or joint exceedance.

Usage

curve.funct(
  pxf,
  pyf,
  mar1,
  mar2,
  pos,
  pobje,
  ng = 100,
  inter = "comb",
  coco,
  c1,
  logm = FALSE
)

Arguments

pxf	Uniform values of the first margin with a mixed distribution (empirical below and gpd above a threshold)
pyf	Uniform values of the second margin with a mixed distribution (empirical below and gpd above a threshold)
mar1	Values of the first margin
mar2	Values of the second margin
pos	part of the curve to be modelled 'l' for the left part, 'm' for the middle part and 'r' for the right part
pobje	probability of the level curve to be modelled
ng	number of points to be interpolated
inter	type of hazard interrelation 'comb' for compound (joint exceedance probability) and 'casc' for cascade (conditional porbability)
coco	a copula function from the following: GHcop,NORMcop,FGMcop,GLcop
c1	the parameter of the copula
logm	log tranformation of the margins 'TRUE'or 'FALSE'

Value

two column matrix representing the level curve for a given probability

Examples

data(porto)
tr1=0.9
tr2=0.9
fire01meantemp=na.omit(fire01meantemp)
u=fire01meantemp

#Compute uniform margins
marg=Margins.mod(tr1,tr2,u=fire01meantemp)
pp=marg$uvar_ext
uu=marg$val_ext

#Copula parameters
c1=1.5
copu<-copBasic::GHcop

upobj=0.001
interh="comb"

#compute the curve on 3 subdomains
cl1<-curve.funct(pxf=pp[,1],pyf=pp[,2],mar1=uu[,1],mar2=uu[,2],pos="l",
pobje=upobj,ng=100,inter=interh,coco=copu,c1=c1)
cl2<-curve.funct(pxf=pp[,1],pyf=pp[,2],mar1=uu[,1],mar2=uu[,2],pos="m",
pobje=upobj,ng=100,inter=interh,coco=copu,c1=c1)
cl3<-curve.funct(pxf=pp[,1],pyf=pp[,2],mar1=uu[,1],mar2=uu[,2],pos="r",
pobje=upobj,ng=100,inter=interh,coco=copu,c1=c1)

cl<-rbind(cl1,cl2,cl3)

mobirep documentation built on April 22, 2021, 5:07 p.m.