EmpiricalCopulae: Bivariate Empirical Copulae

In fCopulae: Rmetrics - Bivariate Dependence Structures with Copulae

Bivariate Empirical Copulae

Description

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

Empirical Copulae Functions:

pempiricalCopula	computes empirical copula probability,
dempiricalCopula	computes empirical copula density.

Usage

pempiricalCopula(u, v, N = 10)
dempiricalCopula(u, v, N = 10) 

Arguments

N	[empiricalCopula] - ... .
u, v	[*evCopula][*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.

Value

Th functions *Spec return an S4 object of class "fCOPULA". The object contains the following slots:

@call	the function call.
@copula	the name of the copula.
@param	a list whose elements specify the model parameters.
@title	a character string with the name of the copula. This can be overwritten specifying a user defined input argument.
@description	a character string with an optional user defined description. By default just the current date when the test was applied will be returned.

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.

fCopulae documentation built on Dec. 29, 2022, 4:03 p.m.