h-methods: Methods for the h-functions
In yasserglez/vines: Multivariate Dependence Modeling with Vines

Description Usage Arguments Methods References

The h function represents the conditional distribution function of a bivariate copula and it should be defined for every copula used in a pair-copula construction. It is defined as the partial derivative of the distribution function of the copula w.r.t. the second argument h(x,v) = F(x|v) = \partial C(x,v) / \partial v.

1	h(copula, x, v, eps)

`copula`	A bivariate `copula` object.
`x`	Numeric vector with values in [0,1].
`v`	Numeric vector with values in [0,1].
`eps`	To avoid numerical problems for extreme values, the values of `x`, `v` and return values close to `0` and `1` are substituted by `eps` and `1 - eps`, respectively. The default `eps` value for most of the copulas is `.Machine$double.eps^0.5`.

signature(copula = "copula")

Default definition of the h function for a bivariate copula. This method is used if no particular definition is given for a copula. The partial derivative is calculated numerically using the numericDeriv function.

signature(copula = "indepCopula")

The h function of the independence copula.

signature(copula = "normalCopula")

The h function of the normal copula.

signature(copula = "tCopula")

The h function of the t copula.

signature(copula = "claytonCopula")

The h function of the Clayton copula.

signature(copula = "gumbelCopula")

The h function of the Gumbel copula.

signature(copula = "fgmCopula")

The h function of the Farlie-Gumbel-Morgenstern copula.

signature(copula = "frankCopula")

The h function of the Frank copula.

signature(copula = "galambosCopula")

The h function of the Galambos copula.

Aas, K. and Czado, C. and Frigessi, A. and Bakken, H. (2009) Pair-copula constructions of multiple dependence. Insurance: Mathematics and Economics 44, 182–198.

Schirmacher, D. and Schirmacher, E. (2008) Multivariate dependence modeling using pair-copulas. Enterprise Risk Management Symposium, Chicago.

yasserglez/vines documentation built on June 9, 2021, 10:06 a.m.