A collection and description of functions to
investigate bivariate Archimedean copulae.
Archimedean Copulae Functions:
rarchmCopula | Generates Archimedean copula variates, |
parchmCopula | computes Archimedean copula probability, |
darchmCopula | computes Archimedean copula density, |
rarchmSlider | displays interactive plots of variates, |
parchmSlider | displays interactive plots of probability, |
darchmSlider | displays interactive plots of density. |
Special Copulae Functions:
rgumbelCopula | Generates Gumbel copula variates, |
pgumbelCopula | computes Gumbel copula probability, |
dgumbelCopula | computes Gumbel copula density. |
rarchmCopula(n, alpha = NULL, type = archmList())
parchmCopula(u = 0.5, v = u, alpha = NULL, type = archmList(), output =
c("vector", "list"), alternative = FALSE )
darchmCopula(u = 0.5, v = u, alpha = NULL, type = archmList(), output =
c("vector", "list"), alternative = FALSE )
rarchmSlider(B = 10)
parchmSlider(type = c("persp", "contour"), B = 10)
darchmSlider(type = c("persp", "contour"), B = 10)rgumbelCopula(n, alpha = 2)
pgumbelCopula(u = 0.5, v = u, alpha = 2, output = c("vector", "list"))
dgumbelCopula(u = 0.5, v = u, alpha = 2, output = c("vector", "list"))
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.
[*Copula] -
Should the probability be computed alternatively ...
[*Slider] -
the maximum slider menu value when the boundary value is infinite.
By default this is set to 10.
[rarchmCopula] -
the number of random deviates to be generated, an integer value.
[*archmCopula] -
output - a character string specifying how the output should
be formatted. By default a vector of the same length as u
and v. If specified as "list" then u and
v are expected to span a two-dimensional grid as outputted
by the function grid2d and the function returns a list with
elements \$x, \$y, and \$z which can be directly
used for example by 2D plotting functions.
[*archmCopula] -
the type of the Archimedean copula. A character string ranging
beween "1" and "22". By default copula No. 1 will
be chosen.
[*archmSlider] -
the type of the plot. A charcter string either specifying a
perspective or contour plot.
[*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.
Diethelm Wuertz for the Rmetrics R-port.