Description Usage Arguments Value See Also Examples
Make table of dependence measures for a 1-parameter bivariate copula family
1 2 | makedeptable(bvec,bfn,dcop,pcop,pcond12,pcond21,LBcpar=0,UBcpar=Inf,
itaildep=F,lmfn,zero=0,zbd=6,iprint=F)
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bvec |
vector of Blomqvist beta values in increasing order, first is 0, last is 1 |
bfn |
function to get copula parameter cpar given Blomqvist beta |
dcop |
function for copula density c |
pcop |
function for copula cdf C |
pcond12 |
function for copula conditional C_{1|2}(u|v) |
pcond21 |
function for copula conditional C_{2|1}(v|u) |
LBcpar |
parameter for independence |
UBcpar |
parameter for comonotonicity |
itaildep |
T to compute tail dependence parameter lambda=lm |
lmfn |
function to compute lambda given copula parameter |
zero |
0 or something like 1.e-6, used with pcond12, pcond21 |
zbd |
integration bound with respect to N(0,1) margins for rhoN |
iprint |
print flag for intermediate results, default=F |
table with column headings of "cpar","beta","tau","rhoS","rhoN","lambda"
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 | bvec=seq(0,.9,.02) # more grid points
bvec=c(bvec,.95)
bvec=c(bvec,1)
np=length(bvec)
bvec=bvec[-(np-1)] # 0.95 can be a problem for some copula families
np=length(bvec)
frk.deptab=makedeptable(bvec,bfn=frk.b2cpar,pcop=pfrk,
pcond12=pcondfrk,pcond21=pcondfrk,LBcpar=0,
UBcpar=Inf,itaildep=FALSE,zero=0,zbd=7,iprint=TRUE)
tauinteg=frk.deptab[,3]
for(i in 2:(np-1))
{ frk.deptab[i,3]=frk.cpar2tau(frk.deptab[i,1]) }
print(frk.deptab)
cat("accuracy of 2-dimensional numerical integration\n")
print(abs(tauinteg-frk.deptab[,3]))
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