copBasic (version 1.5.1)

EMPIRcopdf: Dataframe of the Bivariate Emprical Copula

Description

Generate a data.frame representation of the bivariate empirical copula using the coordinates as preserved in the raw data in the parameter object of the empirical copula.

Usage

EMPIRcopdf(para=NULL, ...)

Arguments

para

A vector (single element) of parameters---the U-statistics of the data (see example) to pass to EMPIRcop, and

...

Additional arguments to pass.

Value

• The $u$, $v$, and $\mathbf{C}_{n}(u,v)$ values of the bivariate empirical copula are returned.

References

Salvadori, G., De Michele, C., Kottegoda, N.T., and Rosso, R., 2007, Extremes in Nature---An approach using copulas: Springer, 289 p.

See Also

EMPIRcop

Examples

psp <- simCOP(n=250, cop=PSP, ploton=FALSE, points=FALSE) *150;
# Pretend psp is real data, the use of *150 is to clearly get the
# probabilities from simCOP into some other arbitrary unit system.

# The sort=FALSE is critical in the following two calls
fakeU <- pp(psp[,1], sort=FALSE); # Weibull plotting position i/(n+1)
fakeV <- pp(psp[,2], sort=FALSE); # Weibull plotting position i/(n+1)

uv <- data.frame(U=fakeU, V=fakeV); # our U-statistics

empcop <- EMPIRcopdf(para=uv)
plot(empcop$u, empcop$v, col=rgb(0,0,0,empcop$v),
     xlab="U NONEXCEEDANCE PROBABILITY",
     ylab="V NONEXCEEDANCE PROBABILITY")

plot(empcop$u, empcop$v, cex=empcop$v,
     xlab="U NONEXCEEDANCE PROBABILITY",
     ylab="V NONEXCEEDANCE PROBABILITY")