bb1_cpar2td

BB1 copula parameter (theta,delta) to tail dependence parameters

Inference methods for factor copula models for continuous data in Krupskii and Joe (2013) <doi:10.1016/j.jmva.2013.05.001>, Krupskii and Joe (2015) <doi:10.1016/j.jmva.2014.11.002>, Fan and Joe (2024) <doi:10.1016/j.jmva.2023.105263>, one factor truncated vine models in Joe (2018) <doi:10.1002/cjs.11481>, and Gaussian oblique factor models. Functions for computing tail-weighted dependence measures in Lee, Joe and Krupskii (2018) <doi:10.1080/10485252.2017.1407414> and estimating tail dependence parameter.

Pavel Krupskii

FactorCopulaModel

Factor Copula Models

Harry Joe

Xinyao Fan

Allan Macleod

Robert Gentleman

Ross Ihaka

bb1_cpar2td function

<dl><dt>cpar</dt>
<dd>copula parameter with theta&gt;0, delta&gt;1 (vector of length 2) or mx2 matrix with columns for theta and delta</dd></dl>

Arguments

BB1 copula parameter (theta,delta) to tail dependence parameters — bb1_cpar2td

<dl>

<dt>cpar</dt>
<dd>copula parameter with theta&gt;0, delta&gt;1 (vector of length 2) or mx2 matrix with columns for theta and delta</dd>

</dl>

bb1_cpar2td: BB1 copula parameter (theta,delta) to tail dependence parameters

Description

Usage

Value

Arguments

Examples