Last chance! 50% off unlimited learning
Sale ends in
The Galambos copula (Joe, 2014, p. 174) is
P
) and as M
). The Galambos is a bivariate extreme value copula (
There are two other genetically related forms. Joe (2014, p. 197) describes an extension of the Galambos copula as a Galambos gamma power mixture (GLPM), which is Joe's BB4 copula, with the following form
This Galambos extension in turn has a lower extreme value limit form that leads to a min-stable bivariate exponential having Pickand dependence function of
GLcop( u, v, para=NULL, ...)
GLEVcop( u, v, para=NULL, ...)
GLPMcop( u, v, para=NULL, ...) # inserts third parameter automatically
JOcopBB4(u, v, para=NULL, ...) # inserts third parameter automatically
Value(s) for the copula are returned.
Nonexceedance probability
Nonexceedance probability
To trigger GLEVcop
, and to trigger GLPM
or JOcopBB4
will insert the third parameter automatically for convenience; and
Additional arguments to pass.
W.H. Asquith
Joe, H., 2014, Dependence modeling with copulas: Boca Raton, CRC Press, 462 p.
M
, P
, GHcop
, HRcop
, tEVcop