fCopulae (version 251.70)

ArchimedeanModelling: Bivariate Archimedean Copulae

Description

A collection and description of functions to investigate bivariate Archimedean copulae. Archimedean Copulae Functions: ll{ archmCopulaSim simulates an Archimedean copula, archmCopulaFit fits the parameters of an Archimedean copula. }

Usage

archmCopulaSim(n, alpha = NULL, type = archmList())
archmCopulaFit(u, v = NULL, type = archmList(), ...)

Arguments

alpha

[Phi*][*archmCopula] - the parameter of the Archemedean copula. A numerical value.

n

[rarchmCopula] - the number of random deviates to be generated, an integer value.

type

the type of the Archimedean copula. A character string ranging beween "1" and "22". By default copula No. 1 will be chosen.

u, v

[*archmCopula] - two numeric values or vectors of the same length at which the copula will be computed. If u is a list then the the $x and $y elements will be used as u and

...

[archmCopulaFit] - arguments passed to the optimization function in use, nlminb.

Value

• The function pcopula returns a numeric matrix of probabilities computed at grid positions x|y. The function parchmCopula returns a numeric matrix with values computed for the Archemedean copula. The function darchmCopula returns a numeric matrix with values computed for thedensity of the Archemedean copula. The functions Phi* return a numeric vector with the values computed from the Archemedean generator, its derivatives, or its inverse. The functions cK and {cKInv} return a numeric vector with the values of the density and inverse for Archimedian copulae.

Examples

## fCOPULA -
   # getClass("fCOPULA")
   
## pcopula -
   # The default Normal Copula:
   # contour(pcopula())