Bivariate Archimedean Copulae

Description

A collection and description of functions to investigate bivariate Archimedean copulae.

Archimedean Copulae Functions:

archmCopulaSim simulates an Archimedean copula,
archmCopulaFit fits the parameters of an Archimedean copula.

Usage

1
2

Arguments

alpha

[Phi*][*archmCopula] -
the parameter of the Archemedean copula. A numerical value.

n

[rarchmCopula] -
the number of random deviates to be generated, an integer value.

type

the type of the Archimedean copula. A character string ranging beween "1" and "22". By default copula No. 1 will be chosen.

u, v

[*archmCopula] -
two numeric values or vectors of the same length at which the copula will be computed. If u is a list then the the \$x and \$y elements will be used as u and v. If u is a two column matrix then the first column will be used as u and the the second as v.

...

[archmCopulaFit] -
arguments passed to the optimization function in use, nlminb.

Value

The function pcopula returns a numeric matrix of probabilities computed at grid positions x|y.

The function parchmCopula returns a numeric matrix with values computed for the Archemedean copula.

The function darchmCopula returns a numeric matrix with values computed for thedensity of the Archemedean copula.

The functions Phi* return a numeric vector with the values computed from the Archemedean generator, its derivatives, or its inverse.

The functions cK and cKInv return a numeric vector with the values of the density and inverse for Archimedian copulae.

Author(s)

Diethelm Wuertz for the Rmetrics R-port.


Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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