View source: R/Copula_Threshold_2D_Lag.R
Copula_Threshold_2D_Lag | R Documentation |
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_Lag(
Data_Detrend,
Data_Declust,
u1 = seq(0.9, 0.99, 0.01),
u2 = seq(0.9, 0.99, 0.01),
PLOT = TRUE,
Lag_Backward_Var1 = 1,
Lag_Forward_Var1 = 1,
Lag_Backward_Var2 = 1,
Lag_Forward_Var2 = 1,
x_lim_min = NA,
x_lim_max = NA,
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 |
Data_Declust |
Data frame containing two (independently) declustered at least partially concurrent time series. Time steps must be equally spaced, with missing values assigned |
u1 |
A single or sequence of thresholds, given as a quantile of the observations of the variable in the first column of |
u2 |
A single or sequence of thresholds, given as a quantile of the observations of the variable in the second column of |
PLOT |
Logical; whether to plot the results. Default is |
Lag_Backward_Var1 |
Numeric vector of length one specifying the negative lag applied to variable in the first column of |
Lag_Forward_Var1 |
Numeric vector of length one specifying positive lag applied to variable in the first column of |
Lag_Backward_Var2 |
Numeric vector of length one specifying negative lag applied to variable in the second column of |
Lag_Forward_Var2 |
Numeric vector of length one specifying positive lag applied to variable in the second column of |
x_lim_min |
Numeric vector of length one specifying x-axis minimum. Default is |
x_lim_max |
Numeric vector of length one specifying x-axis maximum. Default is |
y_lim_min |
Numeric vector of length one specifying y-axis minimum. Default |
y_lim_max |
Numeric vector of length one specifying y-axis maximum. Default |
Upper |
Numeric vector specifying the element number of the |
Lower |
Numeric vector specifying the element number of the |
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 uhold plot. Default is |
Legend |
Logic vector of length one specifying whether a legend should be plotted. Default is |
List comprising:
Kendalls_Tau1
Kendall's tau of a sample
p_value_Var1
p-value when testing the null hypothesis H_0=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 vector Kendalls_Tau2
, 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_uhold_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)
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