EMPIRcopdf {copBasic}

Data Frame Representation of the Bivariate Empirical Copula

Description

Generate an R data.frame representation of the bivariate empirical copula (Salvadori et al., 2007, p. 140) using the coordinates as preserved in the raw data in the parameter object of the bivariate empirical copula.

Usage

EMPIRcopdf(para=NULL, ...)

Arguments

para

A vector (single element) of parameters—the U-statistics of the data (see example) to pass to EMPIRcop; and

...

Additional arguments to pass to EMPIRcop.

Value

An R data.frame of u, v, and \mathbf{C}_{n}(u, v) values of the bivariate empirical copula is returned.

Author(s)

W.H. Asquith

References

Salvadori, G., De Michele, C., Kottegoda, N.T., and Rosso, R., 2007, Extremes in Nature—An approach using copulas: Springer, 289 p.

See Also

EMPIRcop

Examples

## Not run: 
psp <- simCOP(n=39, cop=PSP, ploton=FALSE, points=FALSE) * 150
# Pretend psp is real data, the * 150 is to clearly get into an arbitrary unit system.

# The sort=FALSE is critical in the following two calls to pp() from lmomco.
fakeU <- lmomco::pp(psp[,1], sort=FALSE) # Weibull plotting position i/(n+1)
fakeV <- lmomco::pp(psp[,2], sort=FALSE) # Weibull plotting position i/(n+1)
uv <- data.frame(U=fakeU, V=fakeV) # our U-statistics

empcop <- EMPIRcopdf(para=uv)
plot(empcop$u, empcop$v, cex=1.75*empcop$empcop, pch=16,
     xlab="U, NONEXCEEDANCE PROBABILITY", ylab="V, NONEXCEEDANCE PROBABILITY")
# Dot size increases with joint probability (height of the copulatic surface).
points(empcop$u, empcop$v, col=2) # red circles
## End(Not run)