A collection and description of functions to
investigate bivariate Archimedean copulae.
Archimedean Copulae Functions:
archmCopulaSim | simulates an Archimedean copula, |
archmCopulaFit | fits the parameters of an Archimedean copula. |
archmCopulaSim(n, alpha = NULL, type = archmList())
archmCopulaFit(u, v = NULL, type = archmList(), ...)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.
[Phi*][*archmCopula] -
the parameter of the Archemedean copula. A numerical value.
[rarchmCopula] -
the number of random deviates to be generated, an integer value.
the type of the Archimedean copula. A character string ranging
beween "1" and "22". By default copula No. 1 will
be chosen.
[*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 v. If u is a two column matrix then the
first column will be used as u and the the second
as v.
[archmCopulaFit] -
arguments passed to the optimization function in use, nlminb.
Diethelm Wuertz for the Rmetrics R-port.