A collection and description of functions to
investigate bivariate Archimedean copulae.
Archimedean Copulae Functions:
archmTau | Computes Kendall's tau for Archimedean copulae, |
archmRho | computes Spearman's rho for Archimedean copulae, |
archmTailCoeff | computes tail dependence for Archimedean copulae, |
archmTailPlot | plots tail dependence for Archimedean copulae. |
archmTau(alpha = NULL, type = archmList(), lower = 1.0e-10)
archmRho(alpha = NULL, type = archmList(), method = c("integrate2d", "adapt"),
error = 1.0e-5)
archmTailCoeff(alpha = NULL, type = archmList())
archmTailPlot(alpha = NULL, type = archmList(), tail = c("Upper", "Lower"))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.
the parameter of the Archemedean copula. A numerical value.
[archmRho] -
the error bound to be achieved by the integrate2d
integration formula. A numeric value, by default error=1.0e-5.
[archmTau] -
a numeric value setting the lower bound for the internal integration
function integrate.
[archmTailPlot] -
a character string, either "Upper" or "Lower" denoting
which of the two tails should be displayed. By default the upper
tail dependence will be considered.
the type of the Archimedean copula. A character string ranging
beween "1" and "22". By default copula No. 1 will
be chosen.
[archmRho] -
a character string that determines which integration method should be
used, either "integrate2d" or "adapt". If the second
method is selected the contributed R package "adapt" is
required.
Diethelm Wuertz for the Rmetrics R-port.