bvtdep2cpar: Bivariate t copula: mapping of measure of association to...

In YafeiXu/CopulaModel: CopulaModel: Dependence Modeling with Copulas

Description

Bivariate t copula: mapping of measure of association to copula parameter given shape parameter nu>0

Usage

bvt.dep2cpar(value,nu,type="tau",ngrid=15,iprint=F)

Arguments

value	value of dependence measure
nu	positive shape parameter for t distribution
type	one of "tau", "beta","lambda", "rhoS" or "rhoN"
ngrid	number of grid points to use in interpolation, default 15
iprint	print flag for intermediate results

Value

parameter in interval (-1.1)

See Also

deppar2taurhobetalambda

Examples

bvt.dep2cpar(.4,5,"beta")
bvt.dep2cpar(.4,5,"tau")
bvt.dep2cpar(.4,5,"lambda")
bvt.dep2cpar(.4,5,"rhoS")
bvt.dep2cpar(.4,5,"rhoN")

YafeiXu/CopulaModel documentation built on May 9, 2019, 11:07 p.m.