Numeric vectors of equal length with values in [0,1].
family
An integer defining the bivariate copula family:
0 = independence copula
1 = Gaussian copula
2 = Student t copula (t-copula)
3 = Clayton copula
4 = Gumbel copula
5 = Frank
par
Copula parameter.
par2
Second parameter for bivariate copulas with two parameters (t, BB1, BB6, BB7, BB8, Tawn type 1 and type 2; default: par2 = 0).
obj
BiCop object containing the family and parameter specification.
Value
hfunc1Numeric vector of the conditional distribution function (h-function) evaluated at u2 given u1, i.e., $h(\code{u2}|\code{u1},\boldsymbol{\theta})$.
hfunc2Numeric vector of the conditional distribution function (h-function) evaluated at u1 given u2, i.e., $h(\code{u1}|\code{u2},\boldsymbol{\theta})$.
Details
The h-function is defined as the conditional distribution function of a bivariate copula, i.e.,
$$h(u|v,\boldsymbol{\theta}) := F(u|v) =
\frac{\partial C(u,v)}{\partial v},$$
where $C$ is a bivariate copula distribution function with parameter(s) $\boldsymbol{\theta}$.
For more details see Aas et al. (2009).
If the family and parameter specification is stored in a BiCop object obj, the alternative version
BiCopHfunc(u1, u2, obj)
can be used.
References
Aas, K., C. Czado, A. Frigessi, and H. Bakken (2009).
Pair-copula constructions of multiple dependence.
Insurance: Mathematics and Economics 44 (2), 182-198.