ExtremeValueDependency {fCopulae} | R Documentation |
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, |
| computes tail dependence for extreme value copulae, |
evTailCoeffSlider | plots tail dependence for extreme value copulae. |
evTau(param = NULL, type = evList(), alternative = FALSE) evRho(param = NULL, type = evList(), alternative = FALSE) evTailCoeff(param = NULL, type = evList()) evTailCoeffSlider(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. |
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 .
|
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()