bskewncop: Skew Normal Copula Functions

In vincenzocoia/copsupp: Vine Copulas made easy

Description

skew-normal copula from Azzalini-DallaValle's bivariate skew-normal u,v = values or vectors in (0,1) param = (rho,ga1,ga2), with -1<rho<1, -1<ga1<1, -1<ga2<1 and a constraint 1-ga1^2-ga2^2-rho^2+2*ga1*ga2*rho>0

Usage

dbskewn(y1, y2, param)

dbskewncop(u, v, param)

pbskewncop(u, v, param)

pcondbskewncop21(v, u, param)

pcondbskewncop12(u, v, param)

qcondbskewncop21(p, u, param)

qcondbskewncop12(p, v, param)

Details

param=c(rho,ga1,ga2), constraint is that correlation matrix with these parameters should be positive definite

Value

dbskewncop: bivariate skew-normal copula density

pbskewncop: bivariate skew-normal copula cdf

pcondbskewncop21: conditional cdf P(V<v|U=u) of bivariate skew-normal copula

pcondbskewncop12: conditional cdf P(U<u|V=v) of bivariate skew-normal copula

qcondbskewncop21: conditional quantile C_2|1^-1(p|u)of bivariate skew-normal copula

qcondbskewncop12: conditional quantile C_1|2^-1(p|v)of bivariate skew-normal copula

Note

pcond21 = P(V<v|U=u) for bskewn copula with y1=qsn(u), y2=qsn(v)

pcond12 = P(U<u|V=v) for bskewn copula with y1=qsn(u), y2=qsn(v)

qcond21 = bskewn copula with y1=qsn(u), y2=qsn(v)

qcond12 = bskewn copula with y1=qsn(u), y2=qsn(v)

Author(s)

Harry Joe

vincenzocoia/copsupp documentation built on Aug. 23, 2020, 7:37 a.m.