copBasic (version 1.6.0)

hoefCOP: The Hoeffding's Phi of a Copula

Description

Compute the measure of association known as Hoeffding's Phi $\sigma_\mathbf{C}$ of a copula according to Cherunbini et al. (2004, p. 164) by $$\phi_\mathbf{C} = 3 \sqrt{10\int_0^1 \int_0^1 (\mathbf{C}(u,v) - uv)^2\,\mathrm{d}u\mathrm{d}v}\mbox{.}$$

Usage

hoefCOP(cop=NULL, para=NULL, brute=FALSE, delta=0.002, ...)

Arguments

cop

A copula function;

para

Vector of parameters or other data structure, if needed, to pass to the copula;

brute

Should brute force be used instead of two nested integrate() functions in Rto perform the double integration;

delta

The $\mathrm{d}u$ and $\mathrm{d}v$ for the brute force (brute=TRUE) integration; and

...

Additional arguments to pass.

Value

• The value for $\phi_\mathbf{C}$ is returned.

References

Cherubini, U., Luciano, E., and Vecchiato, W., 2004, Copula methods in finance: Hoboken, NJ, Wiley, 293 p.

See Also

rhoCOP, wolfCOP

Examples

hoefCOP(cop=PSP)