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copBasic (version 1.5.1)

composite2COP: Composition of Two Copulas

Description

The composition of two two copulas provides for more sophisticated structures of dependence between variables than many single parameter copula can provide. Further, asymmetrical copulas are readily obtained. Let $\mathbf{A}$ and $\mathbf{B}$ be copulas. Then

$$\mathbf{C}_{\alpha,\beta}(u,v) = \mathbf{A}(u^\alpha, v^\beta) \cdot \mathbf{B}(u^{1-\alpha},v^{1-\beta})\mbox{,}$$

defines a family of copulas $\mathbf{C}_{\alpha,\beta}$, with parameters $\alpha,\beta \in \mathcal{I}:[0,1]$. In particular, if $\alpha = \beta = 1$, then $\mathbf{C}_{1,1} = \mathbf{A}$, and, if $\alpha = \beta = 0$, then $\mathbf{C}_{0,0} = \mathbf{B}$. For $\alpha \ne \beta$, the $\mathbf{C}_{\alpha,\beta}$ is, in general, asymmetric, that is $\mathbf{C}(u,v) \ne \mathbf{C}(v,u)$ for some $(u,v) \in \mathcal{I}^2$.

It is important to stress that copulas $\mathbf{A}_{\Theta_A}$ and $\mathbf{B}_{\Theta_B}$ can be of different families and each parameterized accordingly by the values $\Theta_A$ and $\Theta_B$. This is an interesting observation in the context of building complex copulitic structures in pursuit of fitting asymmetric measures of dependency such as the L-comoments available in the lmomco package. The author does not know whether the copulas $\mathbf{A}$ and $\mathbf{B}$ need be symmetric as the reference makes no stated restriction to that effect. (Symmetry of the copula $\mathbf{C}$ is required for the situation that follows.)

It is possible to simplify the construction of an asymmetric copula for a single copula by the following. Let $\mathbf{C}(u,v)$ by a symmetric copula, $\mathbf{C} \ne \Pi$ (for $\Pi$ see P). A family of asymmetric copulas $\mathbf{C}_{\alpha,\beta}$, with parameters $0 < \alpha,\beta < 1, \alpha \ne \beta$, that includes $\mathbf{C}(u,v)$ as a limiting case, is given by

$$\mathbf{C}_{\alpha,\beta}(u,v) = u^\alpha v^\beta \cdot \mathbf{C}(u^{1-\alpha},v^{1-\beta})\mbox{.}$$

The composite2COP function is based on the more general result given in the former to provide maximum flexibility. For simpler case given in the later, the composite1COP is available.

Usage

composite2COP(u,v,para,...)

Arguments

u
A nonexceedance probability in X direction,
v
A nonexceedance probability in Y direction,
para
A special parameter list() (see Note), and
...
Additional arguments to pass.

Value

  • A value for the composited copula is returned.

References

Salvadori, G., De Michele, C., Kottegoda, N.T., and Rosso, R., 2007, Extremes in Nature---An approach using copulas: Springer, 289 p.

See Also

COP, composite1COP

Examples

Run this code
alpha <- 0.24; beta <- 0.23
Theta1 <- NA; Theta2 <- NA

# The W() and PSP() copulas do not take parameters, but show how
# the parameters (ThetaX) would be set should either or both of the
# copulas require parameters.
para   <- list(alpha=alpha,      beta=beta,
                cop1=W,          cop2=PSP,
                para1=c(Theta1), para2=c(Theta2))
t <- composite2COP(0.4,0.6,para)
print(t)


para   <- list(alpha=alpha,      beta=beta,
                cop1=W,          cop2=N4212cop,
                para1=c(Theta1), para2=3)
t <- composite2COP(0.4,0.6,para)
print(t)

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