ExtremeValueGenerator {fCopulae} | R Documentation |
A collection and description of functions
concerned with the generator function for
the extreme value copula and with functions
for setting and checking the distributional
parameters.
Functions:
evList | Returns list of implemented extreme value copulae, |
evParam | sets default parameters for an extreme value copula, |
evRange | returns the range of valid rho values, |
evCheck | checks if rho is in the valid range, |
| computes dependence function, |
AfuncSlider | displays interactively dependence function. |
evList() evParam(type = evList()) evRange(type = evList()) evCheck(param, type = evList()) Afunc(x, param = NULL, type = evList()) AfuncSlider()
param |
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 |
the type of the extreme value copula. A character string selected from: "gumbel", "galambos", "husler.reiss", "tawn", or "bb5". |
x |
a numeric value or vector ranging between zero and one. |
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()