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# This library is free software; you can redistribute it and/or
# modify it under the terms of the GNU Library General Public
# License as published by the Free Software Foundation; either
# version 2 of the License, or (at your option) any later version.
#
# This library is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU Library General Public License for more details.
#
# You should have received a copy of the GNU Library General
# Public License along with this library; if not, write to the
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
# Copyrights (C)
# for this R-port:
# 1999 - 2007, Diethelm Wuertz, GPL
# Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
# info@rmetrics.org
# www.rmetrics.org
# for the code accessed (or partly included) from other R-ports:
# see R's copyright and license files
# for the code accessed (or partly included) from contributed R-ports
# and other sources
# see Rmetrics's copyright file
################################################################################
# FUNCTION: ELLIPTICAL COPULAE DEPENDENCE MASURES:
# ellipticalTau Computes Kendall's tau for elliptical copulae
# ellipticalRho Computes Spearman's rho for elliptical copulae
# FUNCTION: ELLIPTICAL COPULAE TAIL COEFFICIENT:
# ellipticalTailCoeff Computes tail dependence for elliptical copulae
# ellipticalTailPlot Plots tail dependence function
################################################################################
test.ellipticalTau =
function()
{
# Computes Kendall's tau for elliptical copulae
args(ellipticalTau)
ellipticalTau(rho = 0.5)
ellipticalTau(rho = c(-0.5, 0, 0.5))
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.ellipticalRho =
function()
{
# Computes Spearman's rho for elliptical copulae
args(ellipticalRho)
ellipticalRho(0.5)
ellipticalRho(rho = c(-0.5, 0, 0.5))
# Return Value:
return()
}
################################################################################
test.ellipticalTailCoeff =
function()
{
# Lower - Upper ----
# Tail Coefficient - Using Default Parameters:
Type = c("norm", "cauchy", "t")
for (type in Type) {
ans = ellipticalTailCoeff(rho = 0.5, type = type)
print(ans)
cat("\n")
}
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.ellipticalTailPlot =
function()
{
# Arguments:
# ellipticalTailPlot(param = NULL, type = c("norm", "cauchy", "t"),
# tail = c("Lower", "Upper"))
# Plot - Be patient, plotting takes some time ...
Type = c("norm", "cauchy", "t")
for (type in Type) {
par(mfrow = c(2, 2), cex = 0.7)
ellipticalTailPlot(type = type)
ellipticalTailPlot(type = type, tail = "Lower")
}
# Return Value:
return()
}
################################################################################
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