fCopulae (version 3000.79)

ExtremeValueModelling: Bivariate Extreme Value Copulae

Description

A collection and description of functions to investigate bivariate extreme value copulae. Extreme Value Copulae Functions: ll{ evCopulaSim simulates an extreme value copula, evCopulaFit fits the parameters of an extreme value copula. }

Usage

evCopulaSim(n, param = NULL,  type = evList())
evCopulaFit(u, v = NULL, type = evList(), ...)

Arguments

n

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

param

[*ev*][A*] - distribution and copulae parameters. A numeric value or vector of named parameters as required by the copula specified by the variable type. If set to NULL, then the default parameters will

type

[*ev*][Afunc] - the type of the extreme value copula. A character string selected from: "gumbel", "galambos", "husler.reiss", "tawn", or "bb5". [evSlider] - a character string specifying the plot type. Either a perspec

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

...

[evCopulaFit] - arguments passed to the optimization function 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")
   getSlots("fCOPULA")
   
## revCopula -
   # Not yet implemented
   # revCopula(n = 10, type = "galambos")
   
## pevCopula -
   pevCopula(u = grid2d(), type = "galambos", output = "list")
   
## devCopula -
   devCopula(u = grid2d(), type = "galambos", output = "list")
   
## AfuncSlider -
   # Generator, try:
   if (require(tcltk)) {
     AfuncSlider()
   }