SimCop (version 0.7.0)

NewBEVSplineCopula: Creates a flexible extreme value copula

Description

Creates a bivariate extreme value copula from a spline estimate of its dependence function.

Usage

NewBEVSplineCopula(spl)

Value

A function that evaluates the bivariate EV copula (whose dependence function is given by the spline) at a given $2$-dimensional vector in the unit square. The environment of the function also contains a function called pdfCopula that evaluates the probability density function of the bivariate asymmetric mixed model EV copula via automatic differentation.

Arguments

spl

a spline function.

Author

Berwin A. Turlach <[e-mail]>

See Also

SplineFitDepFct