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SimCop (version 0.7.3)

NewBEVAsyMixedModelCopula: Creates a bivariate asymmetric mixed model extreme value copula

Description

Creates an instance of the bivariate asymmetric mixed model extreme value copula with parameters \(\phi\) and \(\theta\).

Usage

NewBEVAsyMixedModelCopula(theta, phi)

Value

A function that evaluates the bivariate asymmetric mixed model EV copula (with parameters \(\phi\) and \(\theta\)) 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

theta

real.

phi

real.

Author

Berwin A. Turlach berwin.turlach@gmail.com

Details

The dependence function for this bivariate EV copula is $$A(w) = \phi w^3 + \theta w^2 - (\phi+\theta) w + 1$$ Necessary and sufficient conditions for the dependence function to be valid are

  • \(\theta \ge 0\)

  • \(\theta + 3 \phi \ge 0\)

  • \(\theta + \phi \le 1\)

  • \(\theta + 2 \phi \le 1\)

If \(\phi = 0\) we obtain the symmetric mixed model.

See Also

NewBEVMixedModelCopula