Description Usage Arguments Value Author(s) Examples
Similar to the dCopula
and pCopula
the function dduCopula
evaluates the partial derivative \frac{\partial}{\partial u} C(u,v) and the function ddvCopula
evaluates the partial derivative \frac{\partial}{\partial v} C(u,v) of the provided copula.
1 2 |
u |
Pairs of values for which the partial derivative should be evaluated. |
copula |
The copula object representing the family member of interest. |
... |
additional arguments can be passed on to the underlying functions. |
A vector of the evaluated partial derivatives of the same length as rows in u
.
Benedikt Graeler
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 | ####################################
## Asymmetric vs. Gaussian copula ##
####################################
asCop <- asCopula(c(-2,1))
asCopSmpl <- rCopula(100,asCop)
unitScatter(smpl=asCopSmpl)
# conditional probabilities of an asymmetric copula given u
asGivenU <- dduCopula(asCopSmpl,asCop)
# vs. conditional probabilities of an asymmetric copula given v
asGivenV <- ddvCopula(asCopSmpl[,c(2,1)],asCop)
unitScatter(smpl=cbind(asGivenU, asGivenV))
normalCop <- normalCopula(.6)
normCopSmpl <- rCopula(100,normalCop)
unitScatter(smpl=normCopSmpl)
# conditional probabilities of a Gaussian copula given u
normGivenU <- dduCopula(normCopSmpl,normalCop)
# vs. conditional probabilities of a Gaussian copula given v
normGivenV <- ddvCopula(normCopSmpl[,c(2,1)],normalCop)
unitScatter(smpl=cbind(normGivenU, normGivenV))
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