copmultiv: multivariate copula cdfs

In YafeiXu/CopulaModel: CopulaModel: Dependence Modeling with Copulas

Description

multivariate copula cdfs

Usage

pmfrk(uu,cpar) # multivariate exchangeable Frank
pmgum(uu,cpar) # multivariate exchangeable Gumbel
pmgal(uu,cpar) # multivariate exchangeable Galambos
pmhr(uu,cpar) # multivariate Huesler-Reiss dimension d>=3
      # cpar is d*(d-1)/2 dimensional vector with order 12, 13, 23, 14, ...
mhrA(ww,param) # exponent function of multivariate Huesler-Reiss for d>=3
hrcondcor(thmat,j) # conditional correlation matrix in jth term of A function

Arguments

uu	vector of dimension d, each element in (0,1)
cpar	parameter of the d-variate copula
ww	vector of dimension d, each element in (0,Inf)
param	parameter of the multivariate distribution
thmat	d*(d-1)/2 dimensional Huesler-Reiss parameter vector as a symmetric matrix
j	integer index in 1:d, when d is nrow(thmat)

Details

pmhr() requires library mvtnorm

Value

cdf for the pm functions;

a non-negative value for mhrA;

a (d-1)x(d-1) correlation matrix for hrcondcor.

See Also

rectmult

Examples

pmgum(c(.8,.9,.7),2)
pmfrk(c(.8,.9,.7),2)
pmgal(c(.8,.9,.7),3)
library(mvtnorm)
pmhr(c(.8,.9,.7),c(.5,.8,1.2))  
ww=-log(c(.8,.9,.7))
exp(-mhrA(ww,c(.5,.8,1.2))) # as above with pmhr()
thmat=corvec2mat(c(.5,.8,1.2))
hrcondcor(thmat,1)
hrcondcor(thmat,2)
hrcondcor(thmat,3)

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