ExtremeValueDependency: Bivariate Extreme Value Copulae In fCopulae: Rmetrics - Bivariate Dependence Structures with Copulae

Description

A collection and description of functions to investigate bivariate extreme value copulae.

Extreme Value Copulae Functions:

 `evTau` Computes Kendall's tau for extreme value copulae, `evRho` computes Spearman's rho for extreme value copulae, `evTailCoeff` computes tail dependence for extreme value copulae, `evTailCoeffSlider` plots tail dependence for extreme value copulae.

Usage

 ```1 2 3 4 5``` ```evTau(param = NULL, type = evList(), alternative = FALSE) evRho(param = NULL, type = evList(), alternative = FALSE) evTailCoeff(param = NULL, type = evList()) evTailCoeffSlider(B = 10) ```

Arguments

 `alternative` [evRho][evTau][*evCopula] - Should the probability be computed alternatively in a direct way from the probability formula or by default via the dependency function? `B` [*Slider] - the maximum slider menu value when the boundary value is infinite. By default this is set to 10.
 `param` [*ev*][A*] - distribution and copulae parameters. A numeric value or vector of named parameters as required by the copula specified by the variable `type`. If set to `NULL`, then the default parameters will be taken. `type` [*ev*][Afunc] - the type of the extreme value copula. A character string selected from: "gumbel", "galambos", "husler.reiss", "tawn", or "bb5". [evSlider] - a character string specifying the plot type. Either a perspective plot which is the default or a contour plot with an underlying image plot will be created. `...` [evCopulaFit] - arguments passed to the optimization function `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.

Examples

 ``` 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17``` ```## fCOPULA - getClass("fCOPULA") getSlots("fCOPULA") ## revCopula - # Not yet implemented # revCopula(n = 10, type = "galambos") ## pevCopula - pevCopula(u = grid2d(), type = "galambos", output = "list") ## devCopula - devCopula(u = grid2d(), type = "galambos", output = "list") ## AfuncSlider - # Generator, try: ## Not run: AfuncSlider() ```

fCopulae documentation built on Nov. 17, 2017, 2:31 p.m.