| NewBEVAsyMixedModelCopula {SimCop} | R Documentation |
Creates a bivariate asymmetric mixed model extreme value copula
Description
Creates an instance of the bivariate asymmetric mixed model extreme value copula with parameters \phi and \theta.
Usage
NewBEVAsyMixedModelCopula(theta, phi)
Arguments
theta |
real. |
phi |
real. |
Details
The dependence function for this bivariate EV copula is
A(w) = \phi w^3 + \theta w^2 - (\phi+\theta) w + 1
Necessary and sufficient conditions for the dependence function to be valid are
-
\theta \ge 0 -
\theta + 3 \phi \ge 0 -
\theta + \phi \le 1 -
\theta + 2 \phi \le 1
If \phi = 0 we obtain the symmetric mixed model.
Value
A function that evaluates the bivariate asymmetric mixed model EV copula (with parameters \phi and \theta) 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 <berwin.turlach@gmail.com>