# kfuncCOPlmoms: The L-moments of the Kendall Function of a Copula In wasquith/copBasic: General Bivariate Copula Theory and Many Utility Functions

## Description

Compute the L-moments of the Kendall Function (F_K(z; \mathbf{C})) of a copula \mathbf{C}(u,v) where the z is the joint probability of the \mathbf{C}(u,v). The Kendall Function is the cumulative distribution function (CDF) of the joint probability Z of the coupla. The expected value of the z(F_K) (mean, first L-moment λ_1), because Z has nonzero probability for 0 ≤ Z ≤ ∞, is

\mathrm{E}[Z] = λ_1 = \int_0^∞ [1 - F_K(t)]\,\mathrm{d}t = \int_0^1 [1 - F_K(t)] \,\mathrm{d}t\mbox{,}

where for circumstances here 0 ≤ Z ≤ 1. The is mentioned only because expectations of such CDFs are usually shown using (0,∞) limits, whereas integration of quantile functions (CDF inverses) use limits (0,1). Because the support of Z is (0,1), like the probability F_K, showing just it () as the upper limit could be confusing—statements such as “probabilities of probabilities” are rhetorically complex so pursuit of word precision is made herein.

An expression for λ_r for r ≥ 2 in terms of the F_K(z) is

λ_r = \frac{1}{r}∑_{j=0}^{r-2} (-1)^j {r-2 \choose j}{r \choose j+1} \int_{0}^{1} \! [F_K(t)]^{r-j-1}\times [1 - F_K(t)]^{j+1}\, \mathrm{d}t\mbox{,}

where because of these circumstances the limits of integration are (0,1) and not (-∞, ∞) as in the usual definition of L-moments in terms of a distribution's CDF.

The mean, L-scale, coefficient of L-variation (τ_2, LCV, L-scale/mean), L-skew (τ_3, TAU3), L-kurtosis (τ_4, TAU4), and τ_5 (TAU5) are computed. In usual nomenclature, the L-moments are λ_1 = \mbox{mean,} λ_2 = \mbox{L-scale,} λ_3 = \mbox{third L-moment,} λ_4 = \mbox{fourth L-moment, and} λ_5 = \mbox{fifth L-moment,} whereas the L-moment ratios are τ_2 = λ_2/λ_1 = \mbox{coefficient of L-variation, } τ_3 = λ_3/λ_2 = \mbox{L-skew, } τ_4 = λ_4/λ_2 = \mbox{L-kurtosis, and} τ_5 = λ_5/λ_2 = \mbox{not named.} It is common amongst practitioners to lump the L-moment ratios into the general term “L-moments” and remain inclusive of the L-moment ratios. For example, L-skew then is referred to as the 3rd L-moment when it technically is the 3rd L-moment ratio. There is no first L-moment ratio (meaningless) so results from this function will canoncially show a NA in that slot. The coefficient of L-variation is τ_2 (subscript 2) and not Kendall's Tau (τ). Sample L-moments are readily computed by several packages in R (e.g. lmomco, lmom, Lmoments, POT).

## Usage

 1 2 3 kfuncCOPlmom(r, cop=NULL, para=NULL, ...) kfuncCOPlmoms(cop=NULL, para=NULL, nmom=5, begin.mom=1, ...) 

## Arguments

 r The rth order of a single L-moment to compute; cop A copula function; para Vector of parameters or other data structure, if needed, to pass to the copula; nmom The number of L-moments to compute; begin.mom The rth order to begin the sequence lambegr:nmom for L-moment computation. The rarely used argument is means to bypass the computation of the mean if the user has an alternative method for the mean or other central tendency characterization in which case begin.mom = 2; and ... Additional arguments to pass.

## Value

An R list is returned by kfuncCOPlmoms and only the scalar value of λ_r by kfuncCOPlmom.

 lambdas Vector of the L-moments. First element is λ_1, second element is λ_2, and so on; ratios Vector of the L-moment ratios. Second element is τ, third element is τ_3 and so on; and source An attribute identifying the computational source of the L-moments: “kfuncCOPlmoms”.

## Note

The L-moments of Kendall Functions appear to be not yet fully researched. An interesting research direction would be the trajectories of the L-moments or L-moment ratio diagrams for the Kendall Function and the degree to which distinction between copulas becomes evident—such diagrams are in wide-spread use for distinquishing between univariate distributions. It is noted, however, that Kendall Function L-moment ratio diagrams might be of less utility that in the univariate world because different copulas can have the same F_K(z), such as all bivariate extreme value copulas.

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20  Rhos <- seq(0,0.9,by=0.05) L1 <- T2 <- T3 <- T4 <- Thetas <- vector(mode="numeric", length(Rhos)) for(i in 1:length(Thetas)) { Thetas[i] <- uniroot(function(p) Rhos[i] - rhoCOP(cop=PARETOcop, para=p), c(0,100))$root message("Rho = ", Rhos[i], " and Pareto theta = ", round(Thetas[i], digits=4)) lmr <- kfuncCOPlmoms(cop=PARETOcop, para=Thetas[i], nmom=4) L1[i] <- lmr$lambdas[1]; T2[i] <- lmr$ratios[2] T3[i] <- lmr$ratios[3]; T4[i] <- lmr$ratios[4] } LMR <- data.frame(Rho=Rhos, Theta=Thetas, L1=L1, T2=T2, T3=T3, T4=T4) plot(LMR$Rho, LMR$T2, ylim=c(-0.04, 0.5), xlim=c(0,1), xlab="Spearman's Rho or coefficient of L-variation", ylab="L-moment ratio", type="l", col=1) # black lines(LMR$Rho, LMR$T3, col=2) # red lines(LMR$Rho, LMR$T4, col=3) # green lines(LMR$T2, LMR$T3, lty=2, col=4) # dashed blue lines(LMR$T2, LMR$T4, lty=2, col=5) # dashed cyan lines(LMR$T3, LMR$T4, lty=2, col=6) # dashed purple  ## Author(s) W.H. Asquith ## References Asquith, W.H., 2011, Distributional analysis with L-moment statistics using the R environment for statistical computing: Createspace Independent Publishing Platform, ISBN 978–146350841–8. ## See Also kfuncCOP ## Examples   1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 ## Not run: kfuncCOPlmom(1, cop=P) # 0.5 * 0.5 = 0.25 is expected joint prob. of independence #[1] 0.2499999 (in agreement with theory) ls.str(kfuncCOPlmoms(cop=GHcop, para=4.21)) # Gumbel-Hougaard copula # lambdas : num [1:5] 0.440617 0.169085 0.011228 -0.000797 0.000249 # ratios : num [1:5] NA 0.38375 0.0664 -0.00472 0.00147 # source : chr "kfuncCOPlmoms" # e.g. L-skew = 0.0664 ## End(Not run) ## Not run: UV <- simCOP(200, cop=PLcop, para=1/pi, graphics=FALSE) theta <- PLpar(UV[,1], UV[,2]); zs <- seq(0.01,0.99, by=.01) # for later # Take the sample estimated parameter and convert to joint probabilities Z # Convert the Z to the Kendall Function estimates again with the sample parameter Z <- PLcop(UV[,1], UV[,2], para=theta); KF <- kfuncCOP(Z, cop=PLcop, para=theta) # Compute L-moments of the "Kendall function" and the sample versions # Note again though that the L-moment are for the distribution of the Z! KNFlmr <- kfuncCOPlmoms(cop=PLcop, para=theta); SAMlmr <- lmomco::lmoms(Z) knftxt <- paste0("Kendall L-moments: ", paste(round(KNFlmr$lambdas, digits=4), collapse=", ")) samtxt <- paste0("Sample L-moments: " , paste(round(SAMlmr$lambdas, digits=4), collapse=", ")) plot(Z, KF, xlim=c(0,1), ylim=c(0,1), lwd=0.8, col=1, xlab="COPULA(u,v) VALUE [JOINT PROBABILITY]", ylab="KENDALL FUNCTION, AS NONEXCEEDANCE PROBABILITY") rug(Z, side=1, col=2, lwd=0.2); rug(KF, side=2, col=2, lwd=0.2) # rug plots lines(zs, kfuncCOP(zs, cop=PLcop, para=1/pi), col=3) knf_meanZ <- KNFlmr$lambdas[1]; sam_meanZ <- SAMlmr\$lambdas[1] knf_mean <- kfuncCOP(knf_meanZ, cop=PLcop, para=theta) # theo. Kendall function sam_mean <- kfuncCOP(sam_meanZ, cop=PLcop, para=theta) # sam. est. of Kendall func points(knf_meanZ, knf_mean, pch=16, col=4, cex=4) # big blue dot points(sam_meanZ, sam_mean, pch=16, col=5, cex=2) # smaller pale blue dot lines(zs, zs-zs*log(zs), lty=2, lwd=0.8) # dash ref line for independence text(0.2, 0.30, knftxt, pos=4, cex=0.8); text(0.2, 0.25, samtxt, pos=4, cex=0.8) text(0.2, 0.18, paste0("Note the uniform distribution of the ", "vertical axis rug."), cex=0.7, pos=4) # ## End(Not run) 

wasquith/copBasic documentation built on Dec. 10, 2018, 3:02 p.m.