hinverse-methods: Methods for the Inverse of the h-functions

In vines: Multivariate Dependence Modeling with Vines

Description

The h^{-1} function represents the inverse of the h function with respect to its first argument. It should be defined for every copula used in a pair-copula construction (or it will be evaluated numerically).

Usage

hinverse(copula, u, v, eps)

Arguments

copula	A bivariate copula object.
u	Numeric vector with values in [0,1].
v	Numeric vector with values in [0,1].
eps	To avoid numerical problems for extreme values, the values of u, v and return values close to 0 and 1 are substituted by eps and 1 - eps, respectively. The default eps value for most of the copulas is .Machine$double.eps^0.5.

Methods

signature(copula = "copula")

Default definition of the h^{-1} function for a bivariate copula. This method is used if no particular definition is given for a copula. The inverse is calculated numerically using the uniroot function.

signature(copula = "indepCopula")

The h^{-1} function of the Independence copula.

signature(copula = "normalCopula")

The h^{-1} function of the normal copula.

signature(copula = "tCopula")

The h^{-1} function of the t copula.

signature(copula = "claytonCopula")

The h^{-1} function of the Clayton copula.

signature(copula = "frankCopula")

The h^{-1} function of the Frank copula.

References

Aas, K. and Czado, C. and Frigessi, A. and Bakken, H. (2009) Pair-copula constructions of multiple dependence. Insurance: Mathematics and Economics 44, 182–198.

Schirmacher, D. and Schirmacher, E. (2008) Multivariate dependence modeling using pair-copulas. Enterprise Risk Management Symposium, Chicago.

vines documentation built on May 2, 2019, 5:55 a.m.