PSP: The ratio of the Product Copula to Summation minus Product Copula
Description
Compute PSP copula (Nelsen, 2006, p. 23) is named by the author (Asquith) for the copBasic package and is
$$\mathbf{PSP}(u,v) = \frac{\mathbf{\Pi}}{\Sigma - \mathbf{\Pi}}\mbox{,}$$
where $\mathbf{\Pi}$ is the product copula (P) and $\Sigma$ is the sum $\Sigma = u + v$. The $\mathbf{PSP}(u,v)$ copula is a special case of the N4212cop copula. This copula is included in copBasic because of its simplicity and for pedagogic purposes. The name PSP comes from Product, Summation, Product to loosely reflect the mathematical formula shown.
Usage
PSP(u, v, ...)
Arguments
u
Nonexceedance probability $u$ in the $X$ direction;
v
Nonexceedance probability $v$ in the $Y$ direction; and
...
Additional arguments to pass, which for this copula are not needed, but given here to support flexible implementation.
Value
The value for the copula is returned.
References
Nelsen, R.B., 2006, An introduction to copulas: New York, Springer, 269 p.