Description Usage Arguments Value Examples
Check pcop pcond dcop qcond functions for copula cdf, conditional cdf, pdf, conditional quantile
1 2 3 | chkcopderiv(u,vvec,cpar,bcdf,pcond,bpdf,str=" ",eps=1.e-4)
chkcopcond(uvec,vvec,cpar,pcond,qcond,str=" ",tol=1.e-5)
chkincrease(mat)
|
u |
scalar in (0,1) |
vvec |
vector of values in (0,1) |
uvec |
vector of values in (0,1), same length as vvec |
cpar |
copula parameter |
bcdf |
function for bivariate copula cdf = pcop |
bpdf |
function for bivariate copula pdf = dcop |
pcond |
function for conditional copula cdf |
qcond |
function for conditional copula quantile |
str |
string for copula name |
eps |
step size for numerical derivative in chkcopderiv |
tol |
tolerance for pcond/qcond composition versus identity in chkcopcond |
mat |
matrix or dataframe |
For chkcopderiv and chkcopcond, output is printed, nothing is returned. chkcopcond checks pcond vs numerical derivative of pcop; chkcopderiv checks also dcop vs numerical derivative of pcond.
For chkincrease, a value of 1 means the values are increasing in each row, otherwise 0 is returned.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 | # checks cdf, conditional cdf, pdf for Plackett copula
be=.8
par.pla=pla.b2cpar(be)
u=.3
vvec=seq(.4,.9,.1)
chkcopderiv(u,vvec,par.pla,bcdf=ppla,pcond=pcondpla,bpdf=dpla,str="pla")
uvec=seq(.1,.6,.1)
vvec=seq(.4,.9,.1)
chkcopcond(uvec,vvec,par.pla,pcondpla,qcondpla,"pla")
# check monotonicity for Plackett copula
u=seq(.1,.9,.2)
umat=matrix(rep(u,5),5,5,byrow=TRUE)
vmat=matrix(rep(u,5),5,5)
cdf=ppla(umat,vmat,par.pla)
chkincrease(cdf)
# check monotonicity of dependence measure for Galambos and Plackett copulas
data(deptabder)
chkincrease(gal.deptab[,1:6]) # cols cpar beta tau rhoS rhoN lambda
apply(gal.deptab,2,diff)
chkincrease(pla.deptab[,1:5]) # cols cpar beta tau rhoS rhoN l
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