NewBEVAsyLogisticCopula {SimCop}

Creates a bivariate asymmetric logistic model extreme value copula

Description

Creates an instance of the bivariate asymmetric logistic model extreme value copula with parameters r, \theta and \phi.

Usage

NewBEVAsyLogisticCopula(r, theta, phi)

Arguments

r

real.

theta

real.

phi

real.

Details

The dependence function for this bivariate EV copula is

A(w) = (\theta (1-w)^r + (\phi w)^r)^{1/r} + (\theta - \phi) w + 1 - \theta

Necessary and sufficient conditions for the dependence function to be valid are

• r \ge 1

• 0 \le \theta \le 0

• 0 \le \phi \le 1

For \theta = \phi = 1 this model reduces to the symmetric logistic model.

Value

A function that evaluates the bivariate asymmetric logistic model EV copula (with parameters r, \theta and phi) at a given 2-dimensional vector in the unit square. The environment of the function also contains a function called pdfCopula that evaluates the probability density function of the bivariate asymmetric mixed model EV copula via automatic differentation.

Author(s)

Berwin A. Turlach <[e-mail]>

See Also

NewBEVLogisticCopula, NewMEVAsyLogisticCopula