deptab: Tables of dependence measures for 1-parameter bivariate...

In YafeiXu/CopulaModel: CopulaModel: Dependence Modeling with Copulas

Description

Tables (dataframes) in deptabder are pla.deptab, frk.deptab, mtcj.deptab, joe.deptab, gum.deptab, gal.deptab, hr.deptab with columns: cpar, beta, tau, rhoS, rhoN, lambda, tauder, rhoSder, rhoNder.

The bivariate copula families are Plackett, Frank, MTCJ=Mardia-Takahasi-Cook-Johnson, Joe-B5, Gumbel, Galambos, Huesler-Reiss.

cpar=copula parameter, beta=Blomqvist's beta, tau=Kendall's tau, rhoS=Spearman's rho, rhoN=correlation of normal scores, lambda=tail dependence parameter, tauder=(estimated) derivative of tau with respect to beta, rhosder=(estimated) derivative of rhos with respect to beta, rhoNder=(estimated) derivative of rhoN with respect to beta. The latter three are used for pcinterpolate() for interpolation in the function depmeas2cpar (dependence measure to copula parameter). Given one of tau, rhoS or rhoN, the corresponding value of beta is interpolated from these tables, and then inverted to get the copula parameter.

Usage

data(deptabder)

Format

Tables included are the following.

pla.deptab

Dependence measure table for bivariate Plackett copula

frk.deptab

Dependence measure table for bivariate Frank copula

mtcj.deptab

Dependence measure table for bivariate MTCJ copula

joe.deptab

Dependence measure table for bivariate Joe copula

gum.deptab

Dependence measure table for bivariate Gumbel copula

gal.deptab

Dependence measure table for bivariate Galambos copula

hr.deptab

Dependence measure table for bivariate Huesler-Reiss copula

See Also

pcinterpolate depmeas2cpar

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