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copBasic (version 1.5.0)

Basic Copula Functions

Description

This package implements basic functions for copula computations and is used by several other packages by the author. This particular package provides the lower (W), upper (M), and product (P) copulas as well as the product-summation-product copula (PSP). Wrapper functions for the copula (COP), survival copula (surCOP), dual of a copula (duCOP), and co-copula (coCOP) are provided. The package has (level.curvesCOP) for drawing level curves of a given copula, and this function uses the inverse of a copula (COPinv and a COPinv2 is provided for completeness). The numerical derivative for the derivative of a copula is provided by (derCOP and derCOP2) and the inversion of these functions are by (derCOPinv and derCOPinv2). The diagonal sections of a copula are supported by (diagCOP), and sections and derivatives of sections are supported by (sectionCOP). The inverses of copula derivatives are important for random variate generation. Random variate generation for a copula using the conditional distribution method and the deriviative of a copula is provided by (simCOP and the reduced capability simCOPmicro). For slightly broader application for purposes of education and experimentation with copulas, this package also supports the Plackett copula (PLACKETTcop) because of the general applicability of this copula. The Plackett copula is comprehensive, which means that it can attain complete negative association, independence, and positive association. Plackett parameter estimation is straightforward with (PLACKETTpar). A Plackett-specific, random-variate algorithm is by (PLACKETTsim). Composition of two copulas is provided by (composite2COP), and composition of one copula is provided by function (composite1COP). Composite copula random variates are generated by (simcompositeCOP). These compositions generally yield asymmetric copulas. A data set is provided that contains darts thrown at the L-comoment space of a Plackett-Plackett composited compula; these data might be used for experimental copula estimation by the method of L-comoments. The package also provides a full suite of functions to numerically compute measures of association through concordance for a given copula such as Kendall's Tau (tauCOP), Spearman's Rho (rhoCOP), Gini's Gamma (giniCOP), and Blomqvist's Beta (blomCOP). The Schweizer and Wolff's Sigma (wolfCOP) is implemented as a measure of dependency as opposed the the concordance measures just listed. Upper and lower tail dependence is computed by numerical limit convergence by (taildepCOP). A numerical computation of the logical whether a copula is left-tail decreasing or right-tail increasing is provided by (isCOP.LTD and isCOP.RTI). The package supports quantile and median regression through (qua.regressCOP, qua.regress2COP, med.regressCOP, med.regress2COP) for a given copula where "2" represents V with respect to U instead of U with respect to V. The regressions can be plotted by (qua.regressCOP.draw).

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Install

install.packages('copBasic')

Monthly Downloads

897

Version

1.5.0

License

GPL

Maintainer

Last Published

September 1st, 2011

Functions in copBasic (1.5.0)