Copula_Threshold_2D: Copula Selection With Threshold 2D - Fit
In rjaneUCF/MultiHazard-R-Package: Tools for modeling compound events

Description Usage Arguments Value See Also Examples

Declustered excesses of a (conditioning) variable are paired with co-occurences of the other variable before the best fitting bivariate copula is selected, using BiCopSelect function in the VineCopula package, for a single or range of thresholds. The procedure is automatically repeated with the variables switched.

Copula_Threshold_2D(Data_Detrend, Data_Declust, Thres = seq(0.9, 0.99,
  0.01), x_lim_min = min(Thres), x_lim_max = max(Thres),
  y_lim_min = -1, y_lim_max = 1, Upper = 0, Lower = 0,
  GAP = 0.05, Legend = TRUE)

`Data_Detrend`	Data frame containing two at least partially concurrent time series, detrended if necessary. Time steps must be equally spaced, with missing values assigned `NA`.
`Data_Declust`	Data frame containing two (independently) declustered at least partially concurrent time series. Time steps must be equally spaced, with missing values assigned `NA`.
`Thres`	A single or sequence of thresholds, given as a quantile of the observations of the conditioning variable. Default, sequence from `0.9` to `0.99` at intervals of `0.01`.
`x_lim_min`	Numeric vector of length one specifying x-axis minimum. Default is the maximum argument in `Thres`.
`x_lim_max`	Numeric vector of length one specifying x-axis maximum. Default is the minimum argument in `Thres`.
`y_lim_min`	Numeric vector of length one specifying y-axis minimum. Default `-1.0`.
`y_lim_max`	Numeric vector of length one specifying y-axis maximum. Default `1.0`.
`Upper`	Numeric vector specifying the element number of the `Thres` argument for which the copula family name label to appear above the corresponding point on the Kendall's tau coefficient vs threshold plot, when conditioning on the variable in column 1. Default is `0`.
`Lower`	Numeric vector specifying the element number of the `Thres` argument for which the copula family name label to appear below the corresponding point on the Kendall's tau coefficient vs threshold plot, when conditioning on the variable in column 2. Default is `0`.
`GAP`	Numeric vector of length one specifying the distance above or below the copula family name label appears the corresponding point on the Kendall's tau coefficient vs threshold plot. Default is `0.05`.
`Legend`	Logic vector of length one specifying whether a legend should be plotted. Default is `TRUE`.

List comprising:

Kendalls_Tau_Var1 Kendall's tau of a sample
p_value_Var1 p-value when testing the null hypothesis H_0: tau=0 i.e. that there is no correlation between the variables
N_Var1 Size of the dataset
Copula_Family_Var1 Best fitting copula for the specified thresholds

when the dataset is conditioned on the variable in column 1. Analogous vectors Kendalls_Tau_Var2,p_value_Var2, N_Var2 and Copula_Family_Var2 for the specified thresholds when the dataset is conditioned on the variable in column 2.

Dataframe_Combine

Copula_Threshold_2D(Data_Detrend=S20.Detrend.df[,-c(1,4)],
                    Data_Declust=S20.Detrend.Declustered.df[,-c(1,4)],
                    y_lim_min=-0.075, y_lim_max =0.25,
                    Upper=c(6,8), Lower=c(6,8),GAP=0.1)