ExtremeValueCopulae {fCopulae} | R Documentation |
A collection and description of functions to investigate
bivariate extreme value copulae.
Extreme Value Copulae Functions:
revCopula | Generates extreme value copula random variates, |
pevCopula | computes extreme value copula probability, |
devCopula | computes extreme value copula density, |
| displays interactive plots of extreme value random variates, |
pevSlider | displays interactive plots of extreme value probability, |
devSlider | displays interactive plots of extreme value density. |
revCopula(n, param = NULL, type = evList()) pevCopula(u = 0.5, v = u, param = NULL, type = evList(), output = c("vector", "list"), alternative = FALSE ) devCopula(u = 0.5, v = u, param = NULL, type = evList(), output = c("vector", "list"), alternative = FALSE ) revSlider(B = 10) pevSlider(type = c("persp", "contour"), B = 10) devSlider(type = c("persp", "contour"), B = 10)
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. |
n |
[revCopula][evCopulaSim] - the number of random deviates to be generated, an integer value. |
output |
[*evCopula] - output - a character string specifying how the output should be formatted. By default a vector of the same length as u and v . If specified as "list"
then u and v are
expected to span a two-dimensional grid as outputted by the
function grid2d and the function returns a list with
elements $x , y , and z which can be directly
used for example by 2D plotting functions.
|
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. |
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 .
|
... |
[evCopulaFit] - arguments passed to the optimization function nlminb .
|
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.
Diethelm Wuertz for the Rmetrics R-port.
## 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: # AfuncSlider()