
BiCopDeriv2(u1, u2, family, par, par2 = 0, deriv = "par", obj = NULL)
0
= independence copula
1
= Gaussian copula
2
= Student t copula (t-copula)
3
= Clayton copula
4
= Gumbel copula
5
= Frankpar2 = 0
."par"
= second derivative with respect to the first parameter (default)
"par2"
= second derivative with respect to the second parameter (only available for the t-copula)
"u1"
= second derivativeBiCop
object containing the family and parameter specification.deriv
evaluated at u1
and u2
with parameter(s) par
and par2
.BiCop
object obj
, the alternative version
BiCopDeriv2(u1, u2, obj, deriv = "par")
can be used.RVineGrad
, RVineHessian
, BiCopDeriv
, BiCopHfuncDeriv
, BiCop
## simulate from a bivariate t-copula
simdata <- BiCopSim(300, 2, -0.7, par2 = 4)
## second derivative of the bivariate t-copula with respect to the first parameter
u1 <- simdata[,1]
u2 <- simdata[,2]
BiCopDeriv2(u1, u2, 2, -0.7, par2 = 4, deriv = "par")
## estimate a bivariate copula from the data and evaluate its derivative
cop <- BiCopEst(u1, u2, family = 2)
BiCopDeriv2(u1, u2, cop, deriv = "par")
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