fCopulae (version 3000.79)

EmpiricalCopulae: Bivariate Empirical Copulae

Description

A collection and description of functions to investigate bivariate empirical copulae. Empirical Copulae Functions: ll{ pempiricalCopula computes empirical copula probability, dempiricalCopula computes empirical copula density. }

Usage

pempiricalCopula(u, v, N = 10)
dempiricalCopula(u, v, N = 10)

Arguments

N

[empiricalCopula] - ... .

u, v

[*evCopula][*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

Value

• Th functions *Spec return an S4 object of class "fCOPULA". The object contains the following slots:
• @call
  the function call.
• @copula
  the name of the copula.
• @param
  a list whose elements specify the model parameters.
• @title
  a character string with the name of the copula. This can be overwritten specifying a user defined input argument.
• @description
  a character string with an optional user defined description. By default just the current date when the test was applied will be returned.
• 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.