Description Usage Arguments Value References Examples
Reflection and permutation asymmetry / skewness measures for bivariate copulas
1 2 3 4 |
uu |
nx2 data matrix of uniform scores |
p |
value between 0 and 0.5, leading to quantiles at p and 1-p |
nrep |
number of replications for bootstrap SE |
skewness/asymmetry measure, with a crude SE
Rosco J-F and Joe H (2014). Measures of tail asymmetry for bivariate copulas. Statistical Papers, 54, 709-726.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 | n=100
set.seed(123)
urefl=rbreflasym(n,.25) # extreme reflection asymmetry
uperm=rbpermasym(n,.25) # extreme permutation asymmetry
n=1000
set.seed(123)
uagum=rbasymgum1(n,c(2,.4)) # bivariate asymmetric Gumbel
umo=rbMO1(n,p=.4) # bivariate 1-parameter Marshall-Olkin
## Not run:
par(mfrow=c(2,2))
plot(urefl)
plot(uperm)
plot(uagum)
plot(umo)
## End(Not run)
sk1=skewrefl(urefl)
sk2=skewperm(uperm)
skagum=skewperm(uagum)
skmo=skewperm(umo)
print(rbind(sk1,sk2,skagum,skmo))
qsk1=qskewrefl(urefl)
qsk2=qskewperm(uperm)
qskagum=qskewperm(uagum)
qskmo=qskewperm(umo)
print(rbind(qsk1,qsk2,qskagum,qskmo))
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