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.