fgmCopula-class

Multivariate Multiparameter Farlie-Gumbel-Morgenstern
 Copula.

classes

Classes (S4) of commonly used elliptical, Archimedean,
extreme-value and other copula families, as well as their rotations,
mixtures and asymmetrizations. Nested Archimedean copulas, related
tools and special functions. Methods for density, distribution, random
number generation, bivariate dependence measures, Rosenblatt transform,
Kendall distribution function, perspective and contour plots. Fitting of
copula models with potentially partly fixed parameters, including
standard errors. Serial independence tests, copula specification tests
(independence, exchangeability, radial symmetry, extreme-value
dependence, goodness-of-fit) and model selection based on
cross-validation. Empirical copula, smoothed versions, and
non-parametric estimators of the Pickands dependence function.

Martin Maechler

copula

Multivariate Dependence with Copulas

fgmCopula-class function

Objects can be created by calls of the form <code>new("fgmCopula",
 ...)</code>.

Objects from the Class

<dl class="dl-horizontal">
 <dt><code>exprdist</code>:</dt><dd>Object of class <code>"expression"</code>,
 expressions for the cdf and pdf of the copula. These expressions
 are used in function <code>pCopula()</code> and <code>dCopula()</code>.</dd>
 <dt><code>subsets.char</code>:</dt><dd>Object of class <code>"character"</code>,
 containing the subsets of integers used for naming the parameters.</dd>
 <dt><code>dimension</code>:</dt><dd>Object of class <code>"numeric"</code>, the
 dimension of the copula.</dd>
 <dt><code>parameters</code>:</dt><dd>Object of class <code>"numeric"</code>,
 parameter values.</dd>
 <dt><code>param.names</code>:</dt><dd>Object of class <code>"character"</code>,
 parameter names.</dd>
 <dt><code>param.lowbnd</code>:</dt><dd>Object of class <code>"numeric"</code>,
 parameter lower bound.</dd>
 <dt><code>param.upbnd</code>:</dt><dd>Object of class <code>"numeric"</code>,
 parameter upper bound.</dd>
 <dt><code>fullname</code>:</dt><dd>Object of class <code>"character"</code>, family names
 of the copula.</dd>
 </dl>

Slots

<dl class="dl-horizontal">
 <dt>dCopula</dt><dd><code>signature(copula = "fgmCopula")</code>: ...</dd>
 <dt>pCopula</dt><dd><code>signature(copula = "fgmCopula")</code>: ...</dd>
 <dt>rCopula</dt><dd><code>signature(copula = "fgmCopula")</code>: ...</dd>
 </dl>

Methods

Class <code>"fgmCopula"</code> extends class <code>"<a href="/link/?package=copula&version=0.999-18" copula'="" data-mini-rdoc="copula::"></a>'>copula"</code> directly.

Extends

Class "fgmCopula" — fgmCopula-class

<dl class='dl-horizontal'>
 <dt><code>exprdist</code>:</dt><dd>Object of class <code>"expression"</code>,
 expressions for the cdf and pdf of the copula. These expressions
 are used in function <code>pCopula()</code> and <code>dCopula()</code>.</dd>
 <dt><code>subsets.char</code>:</dt><dd>Object of class <code>"character"</code>,
 containing the subsets of integers used for naming the parameters.</dd>
 <dt><code>dimension</code>:</dt><dd>Object of class <code>"numeric"</code>, the
 dimension of the copula.</dd>
 <dt><code>parameters</code>:</dt><dd>Object of class <code>"numeric"</code>,
 parameter values.</dd>
 <dt><code>param.names</code>:</dt><dd>Object of class <code>"character"</code>,
 parameter names.</dd>
 <dt><code>param.lowbnd</code>:</dt><dd>Object of class <code>"numeric"</code>,
 parameter lower bound.</dd>
 <dt><code>param.upbnd</code>:</dt><dd>Object of class <code>"numeric"</code>,
 parameter upper bound.</dd>
 <dt><code>fullname</code>:</dt><dd>Object of class <code>"character"</code>, family names
 of the copula.</dd>
 </dl>

<dl class='dl-horizontal'>
 <dt>dCopula</dt><dd><code>signature(copula = "fgmCopula")</code>: ...</dd>
 <dt>pCopula</dt><dd><code>signature(copula = "fgmCopula")</code>: ...</dd>
 <dt>rCopula</dt><dd><code>signature(copula = "fgmCopula")</code>: ...</dd>
 </dl>

Class <code>"fgmCopula"</code> extends class <code>"<a href='<a href='copula'></a>'>copula</a>"</code> directly.

fgmCopula-class: Class "fgmCopula"

Description

Arguments

Objects from the Class

Slots

Methods

Extends

References

See Also