VC2copula (version 0.1.5)

ddCopula: Partial Derivatives of Copulas

Description

Similar to dCopula() and pCopula() the function dduCopula evaluates the partial derivative \(\frac{\partial}{\partial u} C(u,v)\) and the function ddvCopula evaluates the partial derivative \(\frac{\partial}{\partial v} C(u,v)\) of the provided copula.

Usage

dduCopula(u, copula, ...)
# S4 method for matrix,normalCopula
dduCopula(u, copula)
# S4 method for numeric,normalCopula
dduCopula(u, copula, ...)
# S4 method for matrix,normalCopula
ddvCopula(u, copula)
# S4 method for numeric,normalCopula
ddvCopula(u, copula, ...)
# S4 method for matrix,tCopula
dduCopula(u, copula)
# S4 method for numeric,tCopula
dduCopula(u, copula, ...)
# S4 method for matrix,tCopula
ddvCopula(u, copula)
# S4 method for numeric,tCopula
ddvCopula(u, copula, ...)
# S4 method for matrix,gumbelCopula
dduCopula(u, copula)
# S4 method for numeric,gumbelCopula
dduCopula(u, copula, ...)
# S4 method for matrix,gumbelCopula
ddvCopula(u, copula)
# S4 method for numeric,gumbelCopula
ddvCopula(u, copula, ...)
# S4 method for matrix,claytonCopula
dduCopula(u, copula)
# S4 method for numeric,claytonCopula
dduCopula(u, copula, ...)
# S4 method for matrix,claytonCopula
ddvCopula(u, copula)
# S4 method for numeric,claytonCopula
ddvCopula(u, copula, ...)
# S4 method for matrix,indepCopula
dduCopula(u, copula)
# S4 method for numeric,indepCopula
dduCopula(u, copula, ...)
# S4 method for matrix,indepCopula
ddvCopula(u, copula)
# S4 method for numeric,indepCopula
ddvCopula(u, copula, ...)
# S4 method for matrix,frankCopula
dduCopula(u, copula)
# S4 method for numeric,frankCopula
dduCopula(u, copula, ...)
# S4 method for matrix,frankCopula
ddvCopula(u, copula)
# S4 method for numeric,frankCopula
ddvCopula(u, copula, ...)

Value

A vector of the evaluated partial derivatives of the same length as rows in u.

Arguments

u

Pairs of values for which the partial derivative should be evaluated.

copula

The copula object representing the family member of interest.

...

additional arguments can be passed on to the underlying functions.

Examples

library(copula)

BB1Cop <- BB1Copula()
BB1CopSmpl <- rCopula(100, BB1Cop)

# conditional probabilities of a Gaussian copula given u
BB1GivenU <- dduCopula(BB1CopSmpl, BB1Cop)

# vs. conditional probabilities of a Gaussian copula given v
BB1GivenV <- ddvCopula(BB1CopSmpl[, c(2, 1)], BB1Cop)

plot(BB1GivenU, BB1GivenV)
abline(0, 1)