VineCopula (version 1.6-1)

dduCopula: 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, ...)
ddvCopula(u, copula, ...)

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.

Value

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

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)