General Bivariate Copula Theory and Many Utility Functions

Documentation for package ‘copBasic’ version 2.2.4

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A B C D E F G H I J K L M N O P Q R S T U V W

Basic Theoretical Copula, Empirical Copula, and Various Utility Functions

-- A --

aicCOP	Akaike Information Criterion between a Fitted Coupla and an Empirical Copula
AMHcop	The Ali-Mikhail-Haq Copula
asCOP	Wrapper on a User-Level Formula to Become a Copula Function

-- B --

bicCOP	Bayesian Information Criterion between a Fitted Coupla and an Empirical Copula
bicoploc	Analog to Line of Organic Correlation by Copula Diagonal
bilmoms	Bivariate L-moments and L-comoments of a Copula
blomatrixCOP	A Matrix of Blomqvist-like Betas of a Copula
blomatrixCOPdec	A Matrix of Blomqvist-like Betas of a Copula
blomatrixCOPiqr	A Matrix of Blomqvist-like Betas of a Copula
blomCOP	The Blomqvist Beta of a Copula
blomCOPss	Blomqvist (Schmid-Schmidt) Betas of a Copula
breveCOP	Add Asymmetry to a Copula

-- C --

CIRCcop	Copula of Circular Uniform Distribution
CLcop	The Clayton Copula
coCOP	The Co-Copula Function
composite1COP	Composition of a Single Symmetric Copula with Two Compositing Parameters
composite2COP	Composition of Two Copulas with Two Compositing Parameters
composite3COP	(Extended) Composition of Two Copulas with Four Compositing Parameters
concordCOP	The Kendall Tau and Concordance Function of a Copula
convex2COP	Convex Combination of Two Copulas
convexCOP	Convex Combination of an Arbitrary Number of Copulas
COP	The Copula
copBasic.fitpara.beta	A Single or Multi-Parameter Optimization Engine (Beta Version)
COPinv	The Inverse of a Copula for V with respect to U
COPinv2	The Inverse of a Copula for U with respect to V

-- D --

densityCOP	Density of a Copula
densityCOPplot	Contour Density Plot of a Copula
derCOP	Numerical Derivative of a Copula for V with respect to U
derCOP2	Numerical Derivative of a Copula for U with respect to V
derCOPinv	Numerical Derivative Inverse of a Copula for V with respect to U
derCOPinv2	Numerical Derivative Inverse of a Copula for U with respect to V
diagCOP	The Diagonals of a Copula
diagCOPatf	Numerical Rooting the Diagonal of a Copula
diagCOPinv	Numerical Rooting the Diagonal of a Copula
duCOP	The Dual of a Copula Function

-- E --

EMPIRcop	The Bivariate Empirical Copula
EMPIRcopdf	Data Frame Representation of the Bivariate Empirical Copula
EMPIRgrid	Grid of the Bivariate Empirical Copula
EMPIRgridder	Derivatives of the Grid of the Bivariate Empirical Copula for V with respect to U
EMPIRgridder2	Derivatives of the Grid of the Bivariate Empirical Copula for U with respect to V
EMPIRgridderinv	Derivative Inverses of the Grid of the Bivariate Empirical Copula for V with respect to U
EMPIRgridderinv2	Derivative Inverses of the Grid of the Bivariate Empirical Copula for U with respect to V
EMPIRmed.regress	Median Regression of the Grid of the Bivariate Empirical Copula for V with respect to U
EMPIRmed.regress2	Median Regression of the Grid of the Bivariate Empirical Copula for U with respect to V
EMPIRqua.regress	Quantile Regression of the Grid of the Bivariate Empirical Copula for V with respect to U
EMPIRqua.regress2	Quantile Regression of the Grid of the Bivariate Empirical Copula for U with respect to V
EMPIRsim	Simulate a Bivariate Empirical Copula
EMPIRsimv	Simulate a Bivariate Empirical Copula For a Fixed Value of U
EuvCOP	Expected value of U given V
EvuCOP	Expected value of V given U

-- F --

FGMcop	The Generalized Farlie-Gumbel-Morgenstern Copula
FGMicop	The Generalized Farlie-Gumbel-Morgenstern Copula
footCOP	The Spearman Footrule of a Copula
FRECHETcop	The Fréchet Family Copula

-- G --

gEVcop	The Gaussian-based (Extreme Value) Copula
GHcop	The Gumbel-Hougaard Extreme Value Copula
giniCOP	The Gini Gamma of a Copula
GLcop	The Galambos Extreme Value Copula (with Gamma Power Mixture [Joe/BB4] and Lower Extreme Value Limit)
GLEVcop	The Galambos Extreme Value Copula (with Gamma Power Mixture [Joe/BB4] and Lower Extreme Value Limit)
GLPMcop	The Galambos Extreme Value Copula (with Gamma Power Mixture [Joe/BB4] and Lower Extreme Value Limit)
glueCOP	Gluing Two Copulas
gridCOP	Compute a Copula on a Grid

-- H --

hoefCOP	The Hoeffding Phi of a Copula or Lp Distances (Independence, Radial Asymmetry, or Reflection Symmetry Forms)
HRcop	The Hüsler-Reiss Extreme Value Copula

-- I --

isCOP.LTD	Is a Copula Left-Tail Decreasing
isCOP.permsym	Is a Copula Permutation Symmetric
isCOP.PQD	The Positively Quadrant Dependency State of a Copula
isCOP.radsym	Is a Copula Radially Symmetric
isCOP.RTI	Is a Copula Right-Tail Increasing
isfuncCOP	Is a General Bivariate Function a Copula by Gridded Search?

-- J --

JOcopB5	The Joe/B5 Copula (B5)
JOcopBB4	The Galambos Extreme Value Copula (with Gamma Power Mixture [Joe/BB4] and Lower Extreme Value Limit)
joeskewCOP	Joe's Nu-Skew and the copBasic Nu-Star of a Copula
joint.curvesCOP	Compute Coordinates of the Marginal Probabilities given joint AND or OR Probabilities
joint.curvesCOP2	Compute Coordinates of the Marginal Probabilities given joint AND or OR Probability
jointCOP	Compute Equal Marginal Probabilities Given a Single Joint AND or OR Probability for a Copula

-- K --

kfuncCOP	The Kendall (Distribution) Function of a Copula
kfuncCOPinv	The Inverse Kendall Function of a Copula
kfuncCOPlmom	The L-moments of the Kendall Function of a Copula
kfuncCOPlmoms	The L-moments of the Kendall Function of a Copula
kmeasCOP	The Kendall (Distribution) Function of a Copula
kullCOP	Kullback-Leibler Divergence, Jeffrey Divergence, and Kullback-Leibler Sample Size
kullCOPint	Kullback-Leibler Divergence, Jeffrey Divergence, and Kullback-Leibler Sample Size

-- L --

lcomCOP	L-comoments and Bivariate L-moments of a Copula
lcomCOPpv	Simulating the Sample Distribution(s) of L-correlation, L-coskew, and L-cokurtosis for a Copula
lcomoms2.ABcop2parameter	Convert L-comoments to Parameters of Alpha-Beta Compositions of Two One-Parameter Copulas
lcomoms2.ABKGcop2parameter	Convert L-comoments to Parameters of Alpha-Beta-Kappa-Gamma Compositions of Two One-Parameter Copulas
level.curvesCOP	Compute and Plot Level Curves of a Copula V with respect to U
level.curvesCOP2	Compute and Plot Level Curves of a Copula U with respect to V
level.setCOP	Compute a Level Set of a Copula V with respect to U
level.setCOP2	Compute a Level Set of a Copula U with respect to V
LpCOP	The Hoeffding Phi of a Copula or Lp Distances (Independence, Radial Asymmetry, or Reflection Symmetry Forms)
LpCOPpermsym	The Hoeffding Phi of a Copula or Lp Distances (Independence, Radial Asymmetry, or Reflection Symmetry Forms)
LpCOPradsym	The Hoeffding Phi of a Copula or Lp Distances (Independence, Radial Asymmetry, or Reflection Symmetry Forms)
LzCOPpermsym	Maximum Asymmetry Measure (or Vector) of a Copula by Exchangability

-- M --

M	The Fréchet-Hoeffding Upper-Bound Copula
med.regressCOP	Perform Median Regression using a Copula by Numerical Derivative Method for V with respect to U
med.regressCOP2	Perform Median Regression using a Copula by Numerical Derivative Method for U with respect to V
mleCOP	Maximum Pseudo-Log-Likelihood Estimation for Copula Parameter Estimation
M_N5p12b	Shuffles of Upper-Bound Copula, Example 5.12b of Nelsen's Book

-- N --

N4212cop	The Copula of Equation 4.2.12 of Nelsen's Book
nuskewCOP	Joe's Nu-Skew and the copBasic Nu-Star of a Copula
nustarCOP	Joe's Nu-Skew and the copBasic Nu-Star of a Copula

-- O --

ORDSUMcop	Ordinal Sums of M-Copula
ORDSUWcop	Ordinal Sums of W-Copula

-- P --

P	The Product (Independence) Copula
PAcop	The Pareto Copula
PARETOcop	The Pareto Copula
PLACKETTcop	The Plackett Copula
PLACKETTpar	Estimate the Parameter of the Plackett Copula
PLACKETTsim	Direct Simulation of a Plackett Copula
PLcop	The Plackett Copula
PLpar	Estimate the Parameter of the Plackett Copula
prod2COP	The Product of Two Copulas
psepolar	Pseudo-Polar Representation of Bivariate Data
PSP	The Ratio of the Product Copula to Summation minus Product Copula

-- Q --

qua.regressCOP	Perform Quantile Regression using a Copula by Numerical Derivative Method for V with respect to U
qua.regressCOP.draw	Draw Quantile Regressions using a Copula by Numerical Derivative Method for V with respect to U or U with respect to V
qua.regressCOP2	Perform Quantile Regression using a Copula by Numerical Derivative Method for U with respect to V

-- R --

RAYcop	The Rayleigh Copula
rCOP	Simulate a Copula by Numerical Derivative Method
ReineckeWell266	Porosity and Permeability Data for Well-266 of the Reinecke Oil Field, Horseshoe Atoll, Texas
ReineckeWells	Porosity and Permeability Data for the Reinecke Oil Field, Horseshoe Atoll, Texas
RFcop	The Raftery Copula
rhobevCOP	A Dependence Measure for a Bivariate Extreme Value Copula based on the Expectation of the Product of Negated Log-Transformed Random Variables U and V
rhoCOP	The Spearman Rho of a Copula
rmseCOP	Root Mean Square Error between a Fitted Copula and an Empirical Copula

-- S --

sectionCOP	The Sections or Derivative of the Sections of a Copula
semicorCOP	Lower and Upper Semi-Correlations of a Copula
simcomposite2COP	Compute the L-comoments of a Two-Value Composited Copula by Simulation
simcomposite3COP	Compute the L-comoments of a Four-Value Composited Copula by Simulation
simcompositeCOP	Compute the L-comoments of a Two-Value Composited Copula by Simulation
simCOP	Simulate a Copula by Numerical Derivative Method
simCOPmicro	Simulate V from U through a Copula by Numerical Derivative Method
simCOPv	Simulate V from U through a Copula by Numerical Derivative Method
spectralmeas	Estimation of the Spectral Measure
stabtaildepf	Estimation of the Stable Tail Dependence Function
statTn	The Tn Statistic of a Fitted Copula to an Empirical Copula
surCOP	The Survival Copula
surfuncCOP	The Joint Survival Function

-- T --

tailconCOP	The Tail Concentration Function of a Copula
taildepCOP	The Lower- and Upper-Tail Dependency Parameters of a Copula
tailordCOP	The Lower- and Upper-Tail Orders of a Copula
tauCOP	The Kendall Tau and Concordance Function of a Copula
tEVcop	The t-EV (Extreme Value) Copula

-- U --

uvlmoms	Bivariate Skewness after Joe (2014) or the Univariate L-moments of Combined U and V
uvskew	Bivariate Skewness after Joe (2014) or the Univariate L-moments of Combined U and V

-- V --

vuongCOP

The Vuong Procedure for Parametric Copula Comparison

-- W --

W	The Fréchet-Hoeffding Lower-Bound Copula
wolfCOP	The Schweizer and Wolff Sigma of a Copula
W_N5p12a	Ordinal Sums of Lower-Bound Copula, Example 5.12a of Nelsen's Book