LCOMDIA_GH3cop

L-comoment ratio diagrams by computation example are shown for the 3-parameter Gumbel--Hougaard copula (<code>GHcop</code>) with Marshall--Olkin copula bounds (<code>MOcop</code>). Diagram computations for the 2-parameter version are found under <code>LCOMDIA_GH2cop</code>. Diagram computations for the 1-parameter version are found among many copulas in <code>LCOMDIA_ManyCops</code>.

L-comoments (ratio diagram)

L-comoment ratio diagram

Extensive functions for bivariate copula (bicopula) computations and related operations
for bicopula theory. The lower, upper, product, and select other bicopula are implemented along
with operations including the diagonal, survival copula, dual of a copula, co-copula, and
numerical bicopula density. Level sets, horizontal and vertical sections are supported. Numerical
derivatives and inverses of a bicopula are provided through which simulation is implemented.
Bicopula composition, convex combination, asymmetry extension, and products also are provided.
Support extends to the Kendall Function as well as the Lmoments thereof. Kendall Tau,
Spearman Rho and Footrule, Gini Gamma, Blomqvist Beta, Hoeffding Phi, Schweizer-
Wolff Sigma, tail dependency, tail order, skewness, and bivariate Lmoments are implemented, and
positive/negative quadrant dependency, left (right) increasing (decreasing) are available.
Other features include Kullback-Leibler Divergence, Vuong Procedure, spectral measure, and
Lcomoments for fit and inference, Lcomoment ratio diagrams, maximum likelihood,
and AIC, BIC, and RMSE for goodness-of-fit.

William Asquith

copBasic

General Bivariate Copula Theory and Many Utility Functions

LCOMDIA_GH3cop function

Author

L-comoment Ratio Diagrams for 3-Parameter Gumbel--Hougaard Extreme Value Copula — LCOMDIA_GH3cop

L-comoment Ratio Diagrams for 3-Parameter Gumbel--Hougaard Extreme Value Copula

LCOMDIA_GH3cop: L-comoment Ratio Diagrams for 3-Parameter Gumbel--Hougaard Extreme Value Copula

Description

Arguments

Author

See Also