A collection and description of functions to investigate
bivariate empirical copulae.
Empirical Copulae Functions:
pempiricalCopula | computes empirical copula probability, |
dempiricalCopula | computes empirical copula density. |
pempiricalCopula(u, v, N = 10)
dempiricalCopula(u, v, N = 10)Th functions *Spec return an S4 object
of class "fCOPULA". The object contains the following slots:
the function call.
the name of the copula.
a list whose elements specify the model parameters.
a character string with the name of the copula. This can be overwritten specifying a user defined input argument.
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.
[empiricalCopula] -
... .
[*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
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.