d1factcop

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

d1factcop function

<dl><dt>u0</dt>
<dd>latent variable for integrand</dd><dt>uvec</dt>
<dd>vector of length d, components in (0,1)</dd><dt>dcop</dt>
<dd>name of function of bivariate copula density (common for all variables), dcop accepts input of form of d-vector or dxm matrix</dd><dt>param</dt>
<dd>d-vector or mxd matrix, parameter of dcop</dd></dl>

Arguments

Integrand for 1-factor copula with 1-parameter bivariate linking copula families; or for m-parameter bivariate linking copulas — d1factcop

<dl>

<dt>u0</dt>
<dd>latent variable for integrand</dd>

<dt>uvec</dt>
<dd>vector of length d, components in (0,1)</dd>

<dt>dcop</dt>
<dd>name of function of bivariate copula density (common for all variables), dcop accepts input of form of d-vector or dxm matrix</dd>

<dt>param</dt>
<dd>d-vector or mxd matrix, parameter of dcop</dd>

</dl>

Integrand for 1-factor copula with 1-parameter bivariate linking copula families; or for m-parameter bivariate linking copulas

d1factcop: Integrand for 1-factor copula with 1-parameter bivariate linking copula families; or for m-parameter bivariate linking copulas

Description

Usage

Value

Arguments