Description Usage Arguments Value See Also Examples
Kendall's tau, Spearman's rho and normal scores correlation for a bivariate copula
1 2 3 |
cpar |
copula parameter: scalar or vector |
icond |
if T, numerical integration via conditional cdf of copula; otherwise via the copula cdf for rhoS and copula cdf/pdf for tau, rhoN |
icdf |
if T, numerical integration via the cdf and Hoeffding's identity, otherwise via the pdf (for rhoN) |
pcond12 |
function for C_{1|2}(u|v) |
pcond21 |
function for C_{2|1}(v|u) |
pcond |
function for C_{2|1}(v|u), for rhoN |
cop |
for rhoS, copula conditional cdf if icond=T, and bivariate copula cdf if icond=F |
zero |
boundary is [zero,1-zero]^2 for integration, default is 0, but choose smething like zero=1.e-6 if there is a boundary problem |
dcop |
function for bivariate copula density, needed if icond=F |
pcop |
function for bivariate copula cdf, needed if icond=F |
B |
upper limit for integration over [0,B]^2 with respect to normal density if icond=F |
tol |
desired accuracy for numerical integration, default 0.0001 |
depmeas |
dependence measure with value in (-1,1) |
1 2 3 4 |
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