rhoNsemic: Semi-correlations for bivariate copula

In YafeiXu/CopulaModel: CopulaModel: Dependence Modeling with Copulas

Description

Semi-correlations for bivariate copula

Usage

rhoNsemic(cpar,dcop,pcop,pcond,B=6,isym=F,iinfbd=T,iprint=F)

Arguments

cpar	copula parameter: scalar or vector
dcop	function for bivariate copula pdf
pcop	function for bivariate copula cdf
pcond	function for C_{2|1}(v|u)
B	bound on numerical integration on [0,B]^2 with respect to standard normal densities
isym	flag for reflection symmetric, default is F
iinfbd	flag for infinity as limit; if T upper bound is Inf for 1-dimensional integral, otherwise B; default is T
iprint	print flag for intermediate results

Value

vector of length 2 with lcorr = lower normal scores semi-correlation of bivariate copula, ucorr = upper normal scores semi-correlation of bivariate copula.

See Also

pcop semicor

Examples

rhoNsemic(2,dfrk,pfrk,pcondfrk,B=6,isym=TRUE)
rhoNsemic(2,dgum,pgum,pcondgum,B=6,isym=FALSE)
rhoNsemic(2,dgumr,pgumr,pcondgumr,B=6,isym=FALSE)

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