ConvertPar: Conversions between various bivariate copula...

In mlysy/LocalCop: Local Likelihood Inference for Conditional Copula Models

Conversions between various bivariate copula parametrizations.

Description

Conversions between various bivariate copula parametrizations.

Usage

BiCopEta2Par(family, eta, eta2 = 0)

BiCopPar2Eta(family, par, par2 = 0)

BiCopEta2Tau(family, eta, eta2 = 0)

BiCopTau2Eta(family, tau)

Arguments

family	An integer defining the bivariate copula family to use. See Details.
eta, eta2	Vector of parameters on the eta scale. See Details.
par, par2	Vector of parameters on the par scale.
tau	Vector of parameters on the tau scale.

Details

The copula family integer codes are identical to those of the VineCopula package. Currently, the following families are implemented:

1

Gaussian copula.

2

Student-t copula.

3

Clayton copula.

4

Gumbel copula.

5

Frank copula.

13

Clayton copula – rotated 180 degrees.

14

Gumbel copula – rotated 180 degrees.

23

Clayton copula – rotated 90 degrees.

24

Gumbel copula – rotated 90 degrees.

33

Clayton copula – rotated 270 degrees.

34

Gumbel copula – rotated 270 degrees.

Value

Vector of converted parameters.

mlysy/LocalCop documentation built on Sept. 29, 2024, 9:13 a.m.